Liver cancer is one of the leading causes of cancer death. To assist doctors in hepatocellular carcinoma diagnosis and treatment planning, an accurate and automatic liver and tumor segmentation method is highly demanded in the clinical practice. Recently, fully convolutional neural networks (FCNs), including 2D and 3D FCNs, serve as the back-bone in many volumetric image segmentation. However, 2D convolutions can not fully leverage the spatial information along the third dimension while 3D convolutions suffer from high computational cost and GPU memory consumption. To address these issues, we propose a novel hybrid densely connected UNet (H-DenseUNet), which consists of a 2D DenseUNet for efficiently extracting intra-slice features and a 3D counterpart for hierarchically aggregating volumetric contexts under the spirit of the auto-context algorithm for liver and tumor segmentation. We formulate the learning process of H-DenseUNet in an end-to-end manner, where the intra-slice representations and inter-slice features can be jointly optimized through a hybrid feature fusion (HFF) layer. We extensively evaluated our method on the dataset of MICCAI 2017 Liver Tumor Segmentation (LiTS) Challenge and 3DIRCADb Dataset. Our method outperformed other state-of-the-arts on the segmentation results of tumors and achieved very competitive performance for liver segmentation even with a single model.