Hepatocellular carcinoma (HCC) remains a major cause of cancer-related mortality. Image-guided ablation is a curative-intent option for selected patients with early-stage disease. Cryoablation enables real-time visualization of the ice ball and may preserve antigenic structures, prompting interest in a potential in situ vaccination strategy. This review summarizes clinical comparisons with radiofrequency ablation (RFA) and microwave ablation (MWA), evidence on cryoablation combined with transarterial chemoembolization (TACE), and research on immune mechanisms and combination strategies. Comparative data suggest effectiveness broadly similar to thermal ablation, with context-specific procedural advantages; a general survival benefit has not been demonstrated. Preclinical and mechanistic studies suggest freeze–thaw injury can release tumor antigens and damage-associated molecular patterns, supporting dendritic-cell activation and T-cell priming. Counter-regulatory pathways may nevertheless limit systemic responses. Evidence on combining cryoablation with immune checkpoint inhibitors is predominantly preclinical, with clinical reports limited to small, heterogeneous studies. Current evidence supports cryoablation as a local treatment with immunological potential, but not as stand-alone immunotherapy. Future studies should evaluate treatment quality, ablative margins, tumor immune context, candidate biomarkers, and treatment sequencing.