Background. Oxidative stress (OS) reactions are closely related to the development and progression of bladder cancer (BCa). This project aimed to identify new potential biomarkers to predict the prognosis of BCa and improve immunotherapy. Methods. We downloaded transcriptomic information and clinical data on BCa from The Cancer Genome Atlas (TCGA). Screening for OS genes was statistically different between tumor and adjacent normal tissue. A coexpression analysis between lncRNAs and differentially expressed OS genes was performed to identify OS-related lncRNAs. Then, differentially expressed oxidative stress lncRNAs (DEOSlncRNAs) between tumors and normal tissues were identified. Univariate/multivariate Cox regression analysis was performed to select the lncRNAs for risk assessment. LASSO analysis was conducted to establish a prognostic model. The prognostic risk model could accurately predict BCa patient prognosis and reveal a close correlation with clinicopathological features. We analyzed the principal component analysis (PCA), immune microenvironment, and half-maximal inhibitory concentration (IC50) in the risk groups. Results. We constructed a model containing eight DEOSlncRNAs (AC021321.1, AC068196.1, AC008750.1, SETBP1-DT, AL590617.2, THUMPD3-AS1, AC112721.1, and NR4A1AS). The prognostic risk model showed better results in predicting the prognosis of BCa patients and was strongly correlated with clinicopathological characteristics. We found great agreement between the calibration plots and prognostic predictions in this model. The areas under the receiver operating characteristic (ROC) curve (AUCs) at 1, 3, and 5 years were 0.792, 0.804, and 0.843, respectively. This model also showed good predictive ability regarding the tumor microenvironment and tumor mutation burden. In addition, the high-risk group was more sensitive to eight therapeutic agents, and the low-risk group was more responsive to five therapeutic agents. Sixteen immune checkpoints were significantly different between the two risk groups. Conclusion. Our eight DEOSlncRNA risk models provide new insights into predicting prognosis and clinical progression in BCa patients.