Lung cancer has been the focus of attention for many researchers in recent years for the leading contribution to cancer-related death worldwide, in which lung adenocarcinoma (LUAD) is the most common histological type. However, the potential mechanism behind LUAD initiation and progression remains unclear. Aiming to dissect the tumor microenvironment of LUAD and to discover more informative prognosis signatures, we investigated the immune-related differences in three types of genetic or epigenetic characteristics (expression status, somatic mutation, and DNA methylation) and considered the potential roles that these alterations have in the immune response and both the immune-related metabolic and neural systems by analyzing the multi-omics data from The Cancer Genome Atlas (TCGA) portal. Additionally, a four-step strategy based on lasso regression and Cox regression was used to construct the prognostic prediction model. For the prognostic predictions on the independent test set, the performance of the trained models (average concordance index [C-index] = 0.839) is satisfied, with average 1-year, 3-year, and 5-year areas under the curve (AUCs) equal to 0.796, 0.786, and 0.777. Finally, the overall model was constructed based on all samples, which comprised 27 variables and achieved a high degree of accuracy on the 1-year (AUC = 0.861), 3-year (AUC = 0.850), and 5-year (AUC = 0.916) survival predictions.