Hepatocellular carcinoma (HCC) is a malignant liver cancer characterized by aggressive progression, unfavorable prognosis, and an increasing global health burden. Therapies that precisely target immunological checkpoints and immune cells have gained significant attention as possible therapeutics in recent years. In truth, the efficacy of immunotherapy is heavily contingent upon the tumor microenvironment (TME). Recent studies have indicated that exosomes serve as a sophisticated means of communication among biomolecules, executing an essential part in the TME of immune suppression. Exosomal non-coding RNAs (ncRNAs) can induce the activation of tumor cells and immunosuppressive immune cells that suppress the immune system, such as cancer-associated fibroblasts (CAFs), tumor-associated macrophages (TAMs), tumor-associated neutrophils (TANs), CD⁺8 T cells, regulatory T cells (Tregs), and regulatory B cells (Bregs). This cell-cell crosstalk triggered by exosomal ncRNAs promotes tumor proliferation and metastasis, angiogenesis, malignant phenotype transformation, and drug resistance. Hence, it is imperative to comprehend how exosomal ncRNAs regulate tumor cells or immune cells within the TME to devise more comprehensive and productive immunotherapy programs. This study discusses the features of exosomal ncRNAs in HCC and how the activation of the exosomes redefines the tumor's immunosuppressive microenvironment, hence facilitating the advancement of HCC. Furthermore, we also explored the potential of exosomal ncRNAs as a viable biological target or natural vehicle for HCC therapy.