Osteosarcoma is a common malignancy seen mainly in children and adolescents. The disease is characterized by poor overall prognosis and lower survival due to a lack of predictive markers. Many gene signatures with diagnostic, prognostic, and predictive values were evaluated to achieve better clinical outcomes. Two public data series, GSE21257 and UCSC Xena, were used to identify the minimum number of robust genes needed for a predictive signature to guide prognosis of patients with osteosarcoma. The lasso regression algorithm was used to analyze sequencing data from TCGA-TARGET, and methods such as Cox regression analysis, risk factor scoring, receiving operating curve, KMplot prognosis analysis, and nomogram were used to characterize the prognostic predictive power of the identified genes. Their utility was assessed using the GEO osteosarcoma dataset. Finally, the functional enrichment analysis of the identified genes was performed. A total of twenty-gene signatures were found to have a good prognostic value for predicting patient survival. Gene ontology analysis showed that the key genes related to osteosarcoma were categorized as peptide–antigen binding, clathrin-coated endocytic vesicle membrane, peptide binding, and MHC class II protein complex. The osteosarcoma related genes in these modules were significantly enriched in the processes of antigen processing and presentation, phagocytosis, cell adhesion molecules, Staphylococcus aureus infection. Twenty gene signatures were identified related to osteosarcoma, which would be helpful for predicting prognosis of patients with OS. Further, these signatures can be used to determine the subtypes of osteosarcoma.