Advanced hepatocellular carcinoma patients treated with sorafenib who develop early dermatologic adverse events (eDAEs) have a better prognosis. This may be linked to immune mechanisms, and thus, it is relevant to assess the association between peripheral immunity and the probability of developing eDAEs. Peripheral blood mononuclear cells of 52 HCC patients treated with sorafenib were analyzed at baseline and throughout the first eight weeks of therapy. T, B, Natural Killer cells, and their immune checkpoints expression data were characterized by flow cytometry. Cytokine release and immune-suppression assays were carried out ex vivo. Cox baseline and time-dependent regression models were applied to evaluate the probability of increased risk of eDAEs. DNAM-1, PD-1, CD69, and LAG-3 in T cells, plus CD16 and LAG-3 in NK cells, are significantly associated with the probability of developing eDAEs. While NK DNAM-1+ cells express activation markers, T DNAM-1+ cells induce immune suppression and show immune exhaustion. This is the first study to report an association between immune checkpoints expression in circulating immune cells and the increased incidence of eDAEs. Our results support the hypothesis for an off-target role of sorafenib in immune modulation. We also describe a novel association between DNAM-1 and immune exhaustion in T cells.