Hepatocellular carcinoma (HCC) is the most common neoplasm and the major cause of cancer-associated death worldwide. The high mortality rate of HCC is mainly attributed to its widespread prevalence and the lack of effective treatment. Immunotherapy as a promising, innovative approach has revolutionised the treatment of solid tumours. However, owing to the heterogeneity and complex tumour microenvironment of HCC, an efficient biomarker for immunotherapy has yet to be identified. We investigated the role of immune-related long non-coding RNAs (lncRNAs) as prognostic biomarkers in patients with HCC from The Cancer Genome Atlas (TCGA) database. Spearman correlation, univariate and multivariate Cox, and lasso regression analyses were utilised to screen lncRNAs associated with prognosis. Four lncRNAs were filtered out to develop an immune-associated lncRNA prognostic signature in TCGA training as well as validation cohorts. Patients with HCC were then categorised into low- and high-risk groups according to the median value of the risk scores to evaluate the ability of the prognostic model between training and validation cohorts. A nomogram (based on risk score and stage) was constructed to appraise the general overall survival (OS) of patients with HCC. Differences in immune cell infiltration, immune checkpoint inhibitor (ICI) treatment response, gene mutation, and drug sensitivity were observed between the two groups. Thus, the lncRNA prognostic signature can serve as a sensitive prognostic biomarker with potential in individualised immunotherapy for HCC patients.