Anti-vascular endothelial growth factor (anti-VEGF) drugs have long been the only first-line treatment for advanced or unresectable hepatocellular carcinoma (HCC). Recently, the combination of bevacizumab (an anti-VEGF drug) and atezolizumab (an immune checkpoint blockade, ICB) has been proven to have superior efficacy over sorafenib. However, the complex association between VEGF signaling pathway and tumor immune microenvironment is still largely unknown. Here, we analyzed the RNA sequencing and clinical data of 365 HCC patients obtained from The Cancer Genome Atlas to investigate the potential correlation between VEGF signaling pathway and tumor immune microenvironment, including immune cell infiltration, 66 immune markers, genomic instability, and immune-related pathways. Our study revealed that VEGF signaling pathway score was positively correlated with immune cell infiltration and the expression profile of 66 immune markers. Enrichment analysis indicated that genes differentially expressed between two VEGF score subtypes were enriched in many immune-related Gene Ontology terms. Most importantly, both VEGF signaling pathway and activated CD8+ T cells were positively correlated with prognosis. Our findings suggest the co-activation of VEGF signaling pathway and tumor immune microenvironment in HCC patients, indicating the underlining mechanism of combination therapy including anti-VEGF drugs and ICBs.