Hepatocellular carcinoma (HCC) is among the most common cancers and it is a major cause of cancer-related deaths. Non-alcoholic fatty liver disease (NAFLD) affects approximately one fourth of individuals worldwide and it is becoming one of the most important causes of HCC. The pathogenic mechanisms leading to NAFLD-related HCC are complex and not completely understood. However, metabolic, fibrogenic, oncogenic, inflammatory and immunological pathways seem to be involved. First-line therapy of advanced HCC has recently undergone major changes, since the combination of atezolizumab and bevacizumab was proven to increase survival when compared to sorafenib. Other immune-oncology drugs are also demonstrating promising results in patients with advanced HCC when compared to traditional systemic therapy. However, initial studies raised concerns that the advantages of immunotherapy might depend on the underlying liver disease, which seems to be particularly important in NAFLD-related HCC, as these tumors might not benefit from it. This article will review the mechanisms of NAFLD-related hepatocarcinogenesis, with an emphasis on its immune aspects, the efficacy of traditional systemic therapy for advanced NAFLD-related HCC, and the most recent data on the role of immunotherapy for this specific group of patients, showing that the management of this condition should be individualized and that a general recommendation cannot be made at this time.