Osteosarcoma (OS) is the most common primary malignant bone tumor with high metastatic potential and relapse risk. To study the regulatory mechanism of the OS microenvironment, a complex regulatory network involving the ferroptosis- and immune response-related genes remains to be established. In the present study, we determined the effect of a comprehensive evaluation system established on the basis of ferroptosis- and immune-related genes on the immune status, related biomarkers, prognosis, and the potential regulatory networks underlying OS based on the TARGET and Gene Expression Omnibus databases that contain information on OS patients by bioinformatics analyses. We first characterized individual ferroptosis scores and immune scores through gene set variation analysis (GSVA) against TARGET-OS datasets. We then identified differentially expressed genes by score groups. Weighted gene co-expression network analysis was performed to identify the most relevant ferroptosis-related and immune-related gene modules, which facilitated the identification of 327 ferroptosis gene and 306 immune gene candidates. A 4-gene (WAS, CORT, WNT16, and GLB1L2) signature was constructed and valuation using the least absolute shrinkage and selection operator-Cox regression models to effectively predict OS prognosis. The prediction efficiency was further validated by GSE39055. We stratified patients based on the prognostic scoring systems. Eight hub genes (namely CD3D, CD8A, CD3E, IL2, CD2, MYH6, MYH7, and MYL2) were identified, and TF–miRNA target regulatory networks were constructed. Furthermore, Gene Ontology, Kyoto Encyclopedia of Genes and Genomes, gene set enrichment analysis, and GSVA were used to determine the signature’s potential pathways and biological functions, which showed that the hub genes were enriched in ferroptosis-associated biological functions and immune-associated molecular mechanisms. Thereafter, we investigated the proportion and infiltration extent of 22 infiltrating immune cells by using CIBERSORT, which revealed significant subgroup differences in CD8 + T cells, M0 macrophages, and M2 macrophages. In conclusion, we determined a new ferroptosis-related and immune-related gene signature for predicting OS patients’ prognosis and further explored the ferroptosis and immunity interactions during OS development, which provides insights into the exploration of molecular mechanisms and targeted therapies in patients with OS.