RNA‐binding Motif Protein39 (RBM39) is identified as a splicing factor and transcription coactivator. Despite mounting evidence that RBM39 plays a critical role in the development of specific malignancies, no systematic pan‐cancer investigation of RBM39 has been conducted. As a result, we set out to investigate RBM39’s prognostic significance and putative immunological activities in 33 different cancers. Based on TCGA and CCLE, GTEx, cBioportal and HPA, we used a series of bioinformatics approaches to explore the potential oncogenic role of RBM39, including analysis of the expression of the pan‐cancer species RBM39, the prognostic relationship between RBM39 expression and overall survival (OS), disease‐specific survival (DSS) and progression‐free interval (PFI), the relationship between RBM39 expression and clinical phenotype, analysis of the relationship between RBM39 expression and tumour mutational burden (TMB), microsatellite instability (MSI), DNA methylation and immune cell infiltration. Our results showed that RBM39 is overexpressed in most cancers. RBM39 was positively or negatively correlated with the prognosis of different tumours. RBM39 expression was associated with TMB and MSI in 9 and 12 cancer types. In addition, RBM39 expression was associated with DNA methylation in almost all tumours. There are eight tumours were screened for further study, including BRCA, COAD, HNSC, LIHC, LUSC, SKCM, STAD, UCEC. In the screed tumours, RBM39 was found to be negatively correlated with the infiltration of most immune cells. In addition, the correlation with RBM39 expression varied by immune cell subtype. Based on RBM39’s role in tumorigenesis and tumour immunity, we suggest it can serve as a surrogate prognostic marker.