Background: The defense response is a type of self-protective response of the body that protects it from damage by pathogenic factors. Although these reactions make important contributions to the occurrence and development of tumors, the role they play in osteosarcoma (OS), particularly in the immune microenvironment, remains unpredictable. Methods: This study included the clinical information and transcriptomic data of 84 osteosarcoma samples and the microarray data of 12 mesenchymal stem cell samples and 84 osteosarcoma samples. We obtained 129 differentially expressed genes related to the defense response (DRGs) by taking the intersection of differentially expressed genes with genes involved in the defense response pathway, and prognostic genes were screened using univariate Cox regression. Least absolute shrinkage and selection operator (LASSO) penalized Cox regression and multivariate Cox regression were then used to establish a DRG prognostic signature (DGPS) via the stepwise method. DGPS performance was examined using independent prognostic analysis, survival curves, and receiver operating characteristic (ROC) curves. In addition, the molecular and immune mechanisms of adverse prognosis in high-risk populations identified by DGPS were elucidated. The results were well verified by experiments. Result: BNIP3, PTGIS, and ZYX were identified as the most important DRGs for OS progression (hazard ratios of 2.044, 1.485, and 0.189, respectively). DGPS demonstrated outstanding performance in the prediction of OS prognosis (area under the curve (AUC) values of 0.842 and 0.787 in the training and test sets, respectively, adj-p < 0.05 in the survival curve). DGPS also performed better than a recent clinical prognostic approach with an AUC value of only 0.674 [metastasis], which was certified in the subsequent experimental results. These three genes regulate several key biological processes, including immune receptor activity and T cell activation, and they also reduce the infiltration of some immune cells, such as B cells, CD8+ T cells, and macrophages. Encouragingly, we found that DGPS was associated with sensitivity to chemotherapeutic drugs including JNK Inhibitor VIII, TGX221, MP470, and SB52334. Finally, we verified the effect of BNIP3 on apoptosis, proliferation, and migration of osteosarcoma cells through experiments. Conclusions: This study elucidated the role and mechanism of BNIP3, PTGIS, and ZYX in OS progression and was well verified by the experimental results, enabling reliable prognostic means and treatment strategies to be proposed for OS patients.