Ferroptosis and immune response correlation studies have not been reported in prostate cancer (PCa), and the main goal of this paper is to identify biomarkers that can be used for early diagnosis of prostate cancer. Data on PCa were retrieved from the TCGA and MSKCC2010 databases. Thereafter, the differentially expressed ferroptosis-related genes (DE-FRGs: ACSF2) and immune-related genes (DE-IRGs: ANGPT1, NPPC, and PTGDS) were identified using the "limma" package. Additionally, we used univariate and multivariate Cox regression analyses to obtain biochemical relapse (BCR)-free survival-related genes and construct a risk signature. Patients with high-risk scores were characterized by poor BCR-free survival, relatively low immune cell abundance, and comparably weak expression of immune checkpoint molecules. Moreover, gene set variation analysis (GSVA) was performed to explore the biological pathways related to the risk signature. Single sample gene set enrichment analysis (ssGESA) was applied to evaluate the status of immune cells in patients with PCa, which demonstrated that the risk score was intimately affiliated with immune response and cancer pathways. Ultimately, the connection between the risk score and response of PCa patients to immunotherapy was appraised using the TIDE algorithm. The TIDE algorithm implied that the high-risk score PCa population might benefit more from immunotherapy regimens. Finally, qRT-PCR were used to evaluate the expression of DE-FRGs and DE-IRGs in PCa cell and normal prostate epithelial cells. The result of qRT-PCR showed that the mRNA expression levels of ACSF2, ANGPT1, NPPC, and PTGDS in normal prostate epithelial cell were higher than that in PCa cells. Therefore, a risk score model was generated based on one DE-FRG and three DE-IRGs, which could predict the BCR-free survival and response of immunotherapy for patients with PCa.