Image-guided locoregional therapies (LRTs) are a crucial asset in the treatment of hepatocellular carcinoma (HCC), which has proven to be characterized by an impaired antitumor immune status. LRTs not only directly destroy tumor cells but also have an immunomodulating role, altering the tumor microenvironment with potential systemic effects. Nevertheless, the immune activation against HCC induced by LRTs is not strong enough on its own to generate a systemic significant antitumor response, and it is incapable of preventing tumor recurrence. Currently, there is great interest in the possibility of combining LRTs with immunotherapy for HCC, as this combination may result in a mutually beneficial and synergistic relationship. On the one hand, immunotherapy could amplify and prolong the antitumoral immune response of LRTs, reducing recurrence cases and improving outcome. On the other hand, LTRs counteract the typical immunosuppressive HCC microenvironment and status and could therefore enhance the efficacy of immunotherapy. Here, after reviewing the current therapeutic options for HCC, we focus on LRTs, describing for each of them the technique and data on its effect on the immune system. Then, we describe the current status of immunotherapy and finally report the recently published and ongoing clinical studies testing this combination.