We developed an immune‐related gene prognostic index (IGPI) associated with progression and provided new insights into the tumour immune microenvironment (TIME) for prostate cancer (PCA) patients undergoing radical prostatectomy. All analyses were conducted with R software (version 3.6.3) and its suitable packages. Meta‐analysis was performed with STATA 16.0. TUBB3, WDR62 and PPARGC1A were finally identified to establish the IGPI score. The IGPI score increased with the augment of the Gleason score and T stage, as well as biochemical recurrence (BCR) and prostate specific antigen (PSA). Patients with a higher IGPI score were at a higher risk of progress (HR: 2·88; 95%CI: 95%CI: 1·80–4·61). Gene set enrichment analysis indicated that patients in high‐risk group were positively associated with mismatch repair, cell cycle, DNA replication, base excision repair, nucleotide excision repair, homologous recombination and pyrimidine metabolism. We observed that patients in the high‐risk group had significantly higher tumour mutation burden score and microsatellite instability score than those in the low‐risk group. For analysis of immune checkpoint, ADORA2A, CD80, TNFRSF4, TNFRSF18 and TNFRSF25 were differentially expressed between no progress and progress groups and were significantly associated with progress free survival. We observed positive correlations between the IGPI score and lymphoid immune cells, macrophages M2 and immune score, while negative association between the IGPI score and dendritic cells, fibroblasts, stromal score and microenvironment score. In conclusion, the IGPI score constructed in this study might serve as an independent risk factor associated with PCA progression. ADORA2A, CD80, TNFRSF4, TNFRSF18 and TNFRSF25 might be the potential targets in the treatment of PCA.