Hepatocellular carcinoma (HCC) is one of the deadliest cancer types worldwide. HCC is often diagnosed at a late stage when the therapeutic options are very limited. However, even at the earlier stages, the best treatment is liver transplantation, surgical resection or ablation. Surgical resection and ablation may carry a high risk of tumor recurrence. The recent introduction of immunotherapies resulted in clinical responses for a subgroup of patients, but there were still no effective predictive markers for response to immunotherapy or for recurrence after surgical therapy. The identification of biomarkers that could correlate and predict response or recurrence would require close monitoring of the patients throughout and after the completion of treatment. However, this would not be performed efficiently by repeated and invasive tissue biopsies. A better approach would be to use liquid biopsies including circulating tumor DNA (ctDNA), circulating RNA (e.g., microRNAs), circulating tumor cells (CTC) and extracellular vesicles (EVs) (e.g., exosomes) for disease monitoring in a non-invasive manner. In this review, we discuss the currently available technology that can enable the use of liquid biopsy as a diagnostic and prognostic tool. Moreover, we discuss the opportunities and challenges of the clinical application of liquid biopsy for immunotherapy of HCC.