(1) Background: PRAME, NY-ESO-1, and SSX2 are cancer testis antigens (CTAs), which are expressed in testicular germ cells with re-expression in numerous cancer types. Their ability to elicit humoral and cellular immune responses have rendered them promising targets for cancer immunotherapy, but they have never been studied in a large and well-characterised cohort of soft tissue sarcomas (STS). (2) Methods: On a protein level, we examined PRAME, NY-ESO-1, and SSX2 expression in tumour tissues of 249 high-risk STS using immunohistochemistry. We correlated expression levels with clinicopathological parameters including tumour-infiltrating lymphocyte (TIL) counts, grading, and long-term survival. (3) Results: Expression of PRAME, NY-ESO-1, and SSX2 was observed in 25 (10%), 19 (8%), and 11 (4%) of 249 specimens with distinct patterns for histo-subtypes. Expression of PRAME was associated with shorter patient survival (p = 0.005) and higher grade (G2 vs. G3, p = 0.001), while NY-ESO-1 expression was correlated with more favourable survival (p = 0.037) and lower grade (G2 vs. G3, p = 0.029). Both PRAME and NY-ESO-1 expression were more frequent in STS with low TIL counts. In multivariate analysis, high PRAME and low SSX2 expression levels as well as metastatic disease and non-radical resections were independent predictors of shorter overall survival. (4) Conclusions: CTAs PRAME, NY-ESO-1, and SSX2 show distinct expression patterns in different STS subtypes. These results demonstrate their prognostic relevance and may guide future immunotherapeutic approaches in STS.