The transmembrane (TMEM) protein family is constituted by a large number of proteins that span the lipid bilayer. Dysregulation of TMEM protein genes widely occurs and is associated with clinical outcomes of patients with multiple tumors. Nonetheless, the significance of TMEM genes in the prognosis prediction of patients with osteosarcoma remains largely unclear. Here, we comprehensively analyzed TMEM protein family genes in osteosarcoma using public resources and bioinformatics methods. Prognosis-related TMEM protein family genes were identified by the univariate Cox regression analysis and were utilized to construct a signature based on six TMEM protein family genes (TMEM120B, TMEM147, TMEM9B, TMEM8A, TMEM59, and TMEM39B) in osteosarcoma. The prognostic signature stratified patients into high- and low-risk groups, and validation in the internal and external cohorts confirmed the risk stratification ability of the signature. Functional enrichment analyses of differentially expressed genes between high- and low-risk groups connected immunity with the prognostic signature. Moreover, we found that M2 and M0 macrophages were the most abundant infiltrated immune cell types in the immune microenvironment, and samples of the high-risk group showed a decreased proportion of M2 macrophages. Single-sample gene set enrichment analysis revealed that the scores of neutrophils and Treg were markedly lower in the high-risk group than these in the low-risk group in The Cancer Genome Atlas and GSE16091 cohorts. As for the related immune functions, APC co-inhibition and cytolytic activity exhibited fewer active levels in the high-risk group than that in the low-risk group in both cohorts. Of the six TMEM genes, the expression of TMEM9B was lower in the high-risk group than in the low-risk group and was positively associated with the overall survival of osteosarcoma patients. In conclusion, our TMEM protein family gene-based signature is a novel and clinically useful prognostic biomarker for osteosarcoma patients, and TMEM9B might be a potential therapeutic target in osteosarcoma.