Osteosarcoma, with poor survival after metastasis, is considered the most common primary bone cancer in adolescents. Notwithstanding the efforts of researchers, its five-year survival rate has only shown limited improvement, suggesting that existing therapeutic strategies are insufficient to meet clinical needs. Notably, immunotherapy has shown certain advantages over traditional tumor treatments in inhibiting metastasis. Therefore, managing the immune microenvironment in osteosarcoma can provide novel and valuable insight into the multifaceted mechanisms underlying the heterogeneity and progression of the disease. Additionally, given the advances in nanomedicine, there exist many advanced nanoplatforms for enhanced osteosarcoma immunotherapy with satisfactory physiochemical characteristics. Here, we review the classification, characteristics, and functions of the key components of the immune microenvironment in osteosarcoma. This review also emphasizes the application, progress, and prospects of osteosarcoma immunotherapy and discusses several nanomedicine-based options to enhance the efficiency of osteosarcoma treatment. Furthermore, we examine the disadvantages of standard treatments and present future perspectives for osteosarcoma immunotherapy.