Extrahepatic spread is a well-known negative prognostic factor in patients with advanced hepatocellular carcinoma (HCC). The prognostic role of different metastatic sites and their response rate to systemic treatment is still being debated. We considered 237 metastatic HCC patients treated with sorafenib as first-line therapy in five different Italian centers from 2010 to 2020. The most common metastatic sites were lymph nodes, lungs, bone and adrenal glands. In survival analysis, the presence of dissemination to lymph nodes (OS 7.1 vs. 10.2 months; p = 0.007) and lungs (OS 5.9 vs. 10.2 months; p < 0.001) were significantly related to worse survival rates compared with all other sites. In the subgroup analysis of patients with only a single metastatic site, this prognostic effect remained statistically significant. Palliative radiation therapy on bone metastases significantly prolonged survival in this cohort of patients (OS 19.4 vs. 6.5 months; p < 0.001). Furthermore, patients with lymph node and lung metastases had worse disease control rates (39.4% and 30.5%, respectively) and shorter radiological progression-free survival (3.4 and 3.1 months, respectively). In conclusion, some sites of an extrahepatic spread of HCC have a prognostic impact on survival in patients treated with sorafenib; in particular, lymph nodes and lung metastases have worse prognosis and treatment response rate.