Osteosarcoma (OS) is the most common primary bone cancer diagnosed in children. This study aims to explore the aberrantly expressed miRNAs that are prognostically related and to provide potential biomarkers for the prognosis prediction of OS. The miRNA profiles of OS and adjacent normal controls were obtained from 2 gene expression omnibus cohorts (i.e., GSE28423 and GSE65071). GSE39058 and Therapeutically Applicable Research to Generate Effective Treatments cohorts, which respectively contained 91 and 85 OS samples with both miRNA expression and clinical characteristics, were employed to perform survival and multivariate Cox regression analyses. Lymphocyte infiltration abundance between distinct subgroups was evaluated with the CIBERSORT algorithm and a previously proposed method. Gene set enrichment analysis was used to infer the dysregulated signaling pathways within each subgroup. Of the 31 differentially expressed miRNAs, miR-509-5p (miR-509) was the most significantly prognostic miRNA in the GSE39058 cohort and its high expression was associated with the better OS prognosis (Logrank P = .008). In the Therapeutically Applicable Research to Generate Effective Treatments validation cohort, the association of high miR-509 expression with favorable survival was also observed (Log-rank P = .014). The results remained still significant even adjusted for clinical confounding factors in multivariate Cox regression models. Further immunology analyses demonstrated that elevated infiltration of lymphocytes, decreased infiltration of immune-suppressive cells, and immune response-related pathways were significantly enriched in patients with miR-509 high expression. Our study suggests that miR-509 may serve as a potential biomarker for evaluating OS prognosis and provides clues for tailoring OS immunotherapy strategies.