Hepatocellular carcinoma (HCC) is a common and aggressive cancer with a high mortality rate. The incidence of HCC is increasing worldwide, and the lack of effective screening programs often results in delayed diagnosis, making it a challenging disease to manage. Immunotherapy has emerged as a promising treatment option for different kinds of cancers, with the potential to stimulate the immune system to target cancer cells. However, the current immunotherapeutic approaches for HCC have shown limited efficacy. Since HCC arises within a complex tumour microenvironment (TME) characterized by the presence of various immune and stromal cell types, the understanding of this interaction is crucial for the identification of effective therapy. In this review, we highlight recent advances in our understanding of the TME of HCC and the immune cells involved in anti-tumour responses, including the identification of new possible targets for immunotherapy. We illustrate a possible classification of HCC based on the tumour immune infiltration and give evidence about the role of SerpinB3, a serine protease inhibitor involved in the regulation of the immune response in different cancers.