Osteosarcoma (OS) is the most common pediatric malignant bone tumor, and occurrence of pulmonary metastasis generally causes a rapid and fatal outcome. Here we aimed to provide clues for exploring the mechanism of tumorigenesis and pulmonary metastasis for OS by comprehensive analysis of microRNA (miRNA), long non-coding RNA (lncRNA), and mRNA expression in primary OS and OS pulmonary metastasis. In this study, deep sequencing with samples from primary OS (n = 3), pulmonary metastatic OS (n = 3), and normal controls (n = 3) was conducted and differentially expressed miRNAs (DEmiRNAs), lncRNAs (DElncRNAs), and mRNAs (DEmRNAs) between primary OS and normal controls as well as pulmonary metastatic and primary OS were identified. A total of 65 DEmiRNAs, 233 DElncRNAs, and 1405 DEmRNAs were obtained between primary OS and normal controls; 48 DEmiRNAs, 50 DElncRNAs, and 307 DEmRNAs were obtained between pulmonary metastatic and primary OS. Then, the target DEmRNAs and DElncRNAs regulated by the same DEmiRNAs were searched and the OS tumorigenesis-related and OS pulmonary metastasis-related competing endogenous RNA (ceRNA) networks were constructed, respectively. Based on these ceRNA networks and Venn diagram analysis, we obtained 3 DEmiRNAs, 15 DElncRNAs, and 100 DEmRNAs, and eight target pairs including miR-223-5p/(CLSTN2, AC009951.1, LINC01705, AC090673.1), miR-378b/(ALX4, IGSF3, SULF1), and miR-323b-3p/TGFBR3 were involved in both tumorigenesis and pulmonary metastasis of OS. The TGF-β superfamily co-receptor TGFBR3, which is regulated by miR-323b-3p, acts as a tumor suppressor in OS tumorigenesis and acts as a tumor promoter in pulmonary metastatic OS via activation of the epithelial–mesenchymal transition (EMT) program.In conclusion, the OS transcriptome (miRNA, lncRNA, and mRNA) is dynamically regulated. These analyses might provide new clues to uncover the molecular mechanisms and signaling networks that contribute to OS progression, toward patient-tailored and novel-targeted treatments.