Introduction: KEYNOTE-394 showed pembrolizumab significantly improved overall survival, progression-free survival, and objective response rate with manageable safety versus placebo for patients from Asia with previously treated advanced hepatocellular carcinoma. We present results on health-related quality of life (HRQoL). Methods: HRQoL was evaluated using the EORTC Quality of Life Questionnaire-Core 30 (EORTC QLQ-C30) and EuroQol-5D-3L (EQ-5D-3L) questionnaires. Key HRQoL endpoints were least squares mean (LSM) score changes from baseline to week 12 and time to deterioration (TTD) for EORTC QLQ-C30 global health status (GHS)/QoL. p values were one-sided and nominal without adjustment for multiplicity. Results: The HRQoL population included patients randomly assigned to pembrolizumab (n = 298) and placebo (n = 152). From baseline to week 12, a greater decline in EORTC QLQ-C30 GHS/QoL score was observed with placebo (LSM, −8.4; 95% CI: −11.7 to −5.1) versus pembrolizumab (−4.0; 95% CI: −6.4 to −1.6; difference vs. placebo: 4.4; 95% CI: 0.5–8.4; nominal p = 0.0142). Similarly, a greater decline in the EQ-5D-3L visual analog scale score was observed with placebo (−6.9; 95% CI: −9.4 to −4.5) versus pembrolizumab (−2.7; 95% CI: −4.5 to −1.0; difference vs. placebo: 4.2; 95% CI: 1.2–7.2; nominal p = 0.0030). TTD in EORTC QLQ-C30 GHS/QoL score was similar between arms (hazard ratio, 0.85; 95% CI: 0.58–1.25; nominal p = 0.1993). Conclusion: Patients receiving placebo showed a greater decline in HRQoL than those receiving pembrolizumab. Combined with efficacy and safety data from KEYNOTE-394 and the global KEYNOTE-240 and KEYNOTE-224 trials, our data support the clinically meaningful benefit and manageable tolerability of pembrolizumab as second-line therapy for patients with advanced hepatocellular carcinoma.