Bladder cancer (BLCA) is the most prevalent urinary tumor with few treatments. Alternative splicing (AS) is closely related to tumor development and tumor immune microenvironment. However, the comprehensive analysis of AS and prognosis and immunological features in BLCA is still lacking. In this study, we downloaded RNA-Seq data and clinical information from The Cancer Genome Atlas (TCGA) database, and AS events were acquired from the TCGA Splice-seq. A total of eight prognostic AS events (C19orf57|47943|ES, ANK3|11845|AP, AK9|77203|AT, GRIK2|77096|AT, DYM|45472|ES, PTGER3|3415|AT, ACTG1|44120|RI, and TRMU|62711|AA) were identified by univariate analysis and least absolute shrinkage and selection operator (LASSO) regression analysis to construct a risk score model. The Kaplan-Meier analysis revealed that the high-risk group had a worse prognosis compared with the low-risk group. The area under the receiver operating characteristic (ROC) curves (AUCs) for this risk score model in 1, 3, and 5 years were 0.698, 0.742, and 0.772, respectively. One of the prognostic AS event-related genes, TRMU, was differentially expressed between tumor and normal tissues in BLCA. The single-sample gene set enrichment analysis (ssGSEA) and CIBERSORT algorithm showed that both the risk score model and TRMU were significantly associated with tumor immune microenvironment and immune status (immune cells, immune-related pathway, and immune checkpoint) in BLCA patients. The TIMER database confirmed the relationship between the expression of TRMU and immune cells and checkpoint genes. Furthermore, Cytoscape software 3.8.0 was used to construct the regulatory network between AS and splicing factors (SFs). Our study demonstrated that AS events were powerful biomarkers to predict the prognosis and immune status in BLCA, which may be potential therapeutic targets in BLCA.