This retrospective cohort study aimed to evaluate the prognostic value of the alpha-fetoprotein (AFP) response in advanced-stage hepatocellular carcinoma (HCC) patients treated with sorafenib combined with transarterial chemoembolization. From May 2008 to July 2012, 118 HCC patients with baseline AFP levels >20 ng/ml treated with combination therapy were enrolled. A receiver operating characteristic curve was used to generate a cutoff point for AFP changes for predicting survival. The AFP response was defined as an AFP decrease rate [ΔAFP(%)] greater than the cutoff point. The ΔAFP(%) was defined as the percentage of changes between the baseline and the nadir values within 2 months after therapy. The median follow-up time was 8.8 months (range 1.2-66.9). A level of 46% was chosen as the threshold value for ΔAFP (sensitivity = 53.7%, specificity = 83.3%). The median overall survival was significantly longer in the AFP response group than in the AFP non-response group (12.8 vs. 6.4 months, P = 0.001). Multivariate analysis showed that ECOG ≥ 1 (HR = 1.95; 95% CI 1.24-3.1, P = 0.004) and AFP nonresponse (HR = 1.71; 95% CI 1.15-2.55, P = 0.009) were associated with increased risk of death. In conclusion, AFP response could predict the survival of patients with advanced-stage HCC at an early time point after combination therapy.