Malignant pleural mesothelioma (MPM) is a highly aggressive cancer with short survival time. Unbalanced competing endogenous RNAs (ceRNAs) have been shown to participate in the tumor pathogenesis and served as biomarkers for the clinical prognosis. However, the comprehensive analyses of the ceRNA network in the prognosis of MPM are still rarely reported. In this study, we obtained the transcriptome data of the MPM and the normal samples from TCGA, EGA, and GEO databases and identified the differentially expressed (DE) mRNAs, lncRNAs, and miRNAs. The functions of the prognostic genes and the overlapped DEmRNAs were further annotated by the multiple enrichment analyses. Then, the targeting relationships among lncRNA–miRNA and miRNA–mRNA were predicted and calculated, and a prognostic ceRNA regulatory network was established. We included the prognostic 73 mRNAs and 13 miRNAs and 26 lncRNAs into the ceRNA network. Moreover, 33 mRNAs, three miRNAs, and seven lncRNAs were finally associated with prognosis, and a model including seven mRNAs, two lincRNAs, and some clinical factors was finally established and validated by two independent cohorts, where CDK6 and SGMS1-AS1 were significant to be independent prognostic factors. In addition, the identified co-expressed modules associated with the prognosis were overrepresented in the ceRNA network. Multiple enrichment analyses showed the important roles of the extracellular matrix components and cell division dysfunction in the invasion of MPM potentially. In summary, the prognostic ceRNA network of MPM was established and analyzed for the first time and these findings shed light on the function of ceRNAs and revealed the potential prognostic and therapeutic biomarkers of MPM.