Osteosarcoma (OS) is an aggressive osteoid-producing tumor of mesenchymal origin, which represents the most common primary bone malignancy. It is characterized by a complex and frequently uncertain etiology. The current standard care for high-grade OS treatment is neoadjuvant chemotherapy, followed by surgery and post-operative chemotherapy. In order to ameliorate survival rates of patients, new therapeutic approaches have been evaluated, mainly immunotherapy with antibody-drug conjugates or immunoconjugates. These molecules consist of a carrier (frequently an antibody) joined by a linker to a toxic moiety (drug, radionuclide, or toxin). Although several clinical trials with immunoconjugates have been conducted, mainly in hematological tumors, their potential as therapeutic agents is relatively under-explored in many types of cancer. In this review, we report the immunoconjugates directed against OS surface antigens, considering the in vitro and in vivo studies. To date, several attempts have been made in preclinical settings, reporting encouraging results and demonstrating the validity of the idea. The clinical experience with glembatumumab vedotin may provide new insights into the real efficacy of antibody-drug conjugates for OS therapy, possibly giving more information about patient selection. Moreover, new opportunities could arise from the ongoing clinical trials in OS patients with unconjugated antibodies that could represent future candidates as carrier moieties of immunoconjugates.