Background and aims The present study aims to investigate the role of the prognostic nutritional index (PNI) on survival in patients with advanced hepatocellular carcinoma (HCC) treated with sorafenib. Methods This multicentric study included a training cohort of 194 HCC patients and three external validation cohorts of 129, 76 and 265 HCC patients treated with Sorafenib, respectively. The PNI was calculated as follows: 10 × serum albumin (g/dL) + 0.005 × total lymphocyte count (per mm3). Univariate and multivariate analyses were performed to investigate the association between the covariates and the overall survival (OS). Results A PNI cut-off value of 31.3 was established using the ROC analysis. In the training cohort, the median OS was 14.8 months (95% CI 12–76.3) and 6.8 months (95% CI 2.7–24.6) for patients with a high (>31.3) and low (<31.3) PNI, respectively. At both the univariate and the multivariate analysis, low PNI value (p = 0.0004), a 1-unit increase of aspartate aminotransferase (p = 0.0001), and age > 70 years (p< 0.0038) were independent prognostic factors for OS. By performing the same multivariate analysis of the training cohort, the PNI <31.3 versus >31.3 was found to be an independent prognostic factor for predicting OS in all the three validation cohorts. Conclusions PNI represents a prognostic tool in advanced HCC treated with first-line Sorafenib. It is readily available and low-cost, and it could be implemented in clinical practice in patients with HCC.