Osteosarcomas are the most frequent primary bone sarcomas, affecting mainly children, adolescents, and young adults, and with a second peak of incidence in elderly individuals. The current therapeutic management, a combined regimen of poly-chemotherapy and surgery, still remains largely insufficient, as patient survival has not improved in recent decades. Osteosarcomas are very heterogeneous tumors, both at the intra- and inter-tumor level, with no identified driver mutation. Consequently, efforts to improve treatments using targeted therapies have faced this lack of specific osteosarcoma targets. Nevertheless, these tumors are inextricably linked to their local microenvironment, composed of bone, stromal, vascular and immune cells and the osteosarcoma microenvironment is now considered to be essential and supportive for growth and dissemination. This review describes the different actors of the osteosarcoma microenvironment and gives an overview of the past, current, and future strategies of therapy targeting this complex ecosystem, with a focus on the role of extracellular vesicles and on the emergence of multi-kinase inhibitors.