Background: Hypoxia is known to play a critical role in tumor occurrence, progression, prognosis, and therapy resistance. However, few studies have investigated hypoxia markers for diagnosing and predicting prognosis in colon adenocarcinoma (COAD). This study aims to identify a hypoxia genes-based biomarker for predicting COAD patients’ prognosis and response to immunotherapy on an individual basis. Methods: Hypoxia-related genes were extracted from the Molecular Signatures Database. Gene expression, clinical data, and mutation data of COAD were collected retrospectively from the Cancer Genome Atlas, the Gene Expression Omnibus, and the International Cancer Genome Consortium databases. Univariate and multivariate cox regression, and the least absolute shrinkage and selection operator method were used to select the genes most associated with the prognosis of COAD patients. Kaplan–Meier survival analysis, receiver operating characteristic curves, calibration curves, and decision curve analyses were performed to validate the efficacy of the signature in predicting the prognosis of COAD patients. EdU incorporation assays, cell survival assays, western blot assays, and trans-well invasion assays were performed to further confirm the function of the screened genes in tumorigenesis. Results: ENO3 and KDM3A were identified as key genes for constructing prognostic and diagnostic signatures, which were found to be independent risk factors for predicting the prognosis and diagnosis of COAD patients. Using these signatures, COAD patients could be stratified into high-risk and low-risk groups, with the latter exhibiting better overall survival outcomes. Moreover, the high-risk group displayed elevated levels of immune checkpoint genes and tumor mutation burden, indicating that these patients may benefit from immune checkpoint inhibitor therapy. Conclusion: The signature developed in this study demonstrates excellent efficacy in prognosticating the outcomes of COAD patients. Moreover, it can serve as a valuable tool for clinicians to identify COAD patients who are suitable for ICI therapy.