UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                              WASHINGTON, DC 20549

                           --------------------------

                                    FORM 8-K

                                 CURRENT REPORT
                         Pursuant To Section 13 or 15(d)
                     of the Securities Exchange Act of 1934



        Date of report (Date of earliest event reported): August 17, 2004


                              HCB Bancshares, Inc.
               --------------------------------------------------
               (Exact Name of Registrant as Specified in Charter)

          Oklahoma                   0-22423                     62-1670792
-----------------------------  ----------------------        -------------------
(State or Other Jurisdiction   Commission File Number        (I.R.S. Employer
    of Incorporation)                                        Identification No.)


                   237 Jackson Street, Camden, Arkansas 71701
               ---------------------------------------------------
               (Address of Principal Executive Offices) (Zip Code)


       Registrant's Telephone Number, Including Area Code: (870) 836-6841



                                       N/A
          -------------------------------------------------------------
          (Former Name or Former Address, if Changed Since Last Report)






ITEM 5. OTHER EVENTS AND REQUIRED FD DISCLOSURE
-----------------------------------------------

     On August 17, 2004, HCB  Bancshares,  Inc. (the  "Company")  issued a press
release announcing that Rock Bancshares,  Inc. ("Rock  Bancshares") had received
approval from the Office of Thrift  Supervision  (the "OTS") for its acquisition
of  the  Company  (the  "Acquisition")  as  contemplated  by  the  Agreement  of
Acquisition  dated  as of  January  13,  2004,  between  the  Company  and  Rock
Bancshares.  Management of the Company and Rock  Bancshares  have  scheduled the
closing of the Acquisition for August 26, 2004.

     The press release is attached as Exhibit 99 and is  incorporated  herein by
reference.


ITEM 7. FINANCIAL STATEMENTS AND EXHIBITS
-----------------------------------------

        Exhibit 99        Press Release dated August 17, 2004











                                   SIGNATURES


     Pursuant to the  requirements  of the Securities  Exchange Act of 1934, the
registrant  has duly  caused  this  report  to be  signed  on its  behalf by the
undersigned hereunto duly authorized.

                                      HCB BANCSHARES, INC.



                                  By:
                                      ------------------------------------------
                                      Charles T. Black
                                      President and Chief Executive Officer
                                      (Duly Authorized Representative)


Dated:  August 17, 2004