Neuroblastoma (NBL) is an extracranial malignant tumor in children deriving from the neural crest in the sympathetic nervous system. Although various immunotherapy interventions have made significant breakthroughs in many adult cancers, the efficacy of these immunotherapies was still limited in NBL. NBL has low immunogenicity which results in a lack of tumor-infiltrating T lymphocytes in the tumor microenvironment (TME). Moreover, tumor cells can wield many immune evasion strategies both in the TME and systemically to impede lymphocyte infiltration and activation. All these factors hamper the anti-tumor effects of CD8+ T cells during immunotherapy and the levels of infiltrating CD8+ T cells correlate with therapy response. In this study, we utilized multidimensional bioinformatic methods to establish a risk model based on CD8+ T cells -related genes (CD8+ TRGs). We obtained 33 CD8+TRGs with well-predictive ability for prognosis in both GSE49711 and E-MTAB-8248 cohorts. Then, 12 CD8+TRGs including HK2, RP2, HPSE, ELL2, GFI1, SLC22A16, FCGR3A, CTSS, SH2D1A, RBP5, ATF5, and ADAM9 were finally identified for risk model construction and validation. This model revealed a stable performance in prognostic prediction of the overall survival (OS) and event-free survival (EFS) in patients with NBL. Additionally, our research indicated that the immune and stromal scores, immune-related pathways, immune cell infiltration, the expression of major histocompatibility complex (MHC) and immune checkpoint molecules, immunotherapy response, and drug susceptibility revealed significant differences between high and low-risk groups. According to our analyses, the constructed CD8+TRGs-based risk model may be promising for the clinical prediction of anti-tumor therapy responses and prognoses in NBL.