Osteosarcoma has a unique tumor microenvironment (TME), which is characterized as a complex microenvironment comprising of bone cells, immune cells, stromal cells, and heterogeneous vascular structures. These elements are intricately embedded in a mineralized extracellular matrix, setting it apart from other primary TMEs. In a state of normal physiological function, these cell types collaborate in a coordinated manner to maintain the homeostasis of the bone and hematopoietic systems. However, in the pathological condition, i.e., neoplastic malignancies, the tumor-immune microenvironment (TIME) has been shown to promote cancer cells proliferation, migration, apoptosis and drug resistance, as well as immune escape. The intricate and dynamic system of the TIME in osteosarcoma involves crucial roles played by various infiltrating cells, the complement system, and exosomes. This complexity is closely associated with tumor cells evading immune surveillance, experiencing uncontrolled proliferation, and facilitating metastasis. In this review, we elucidate the intricate interplay between diverse cell populations in the osteosarcoma TIME, each contributing uniquely to tumor progression. From chondroblastic and osteoblastic osteosarcoma cells to osteoclasts, stromal cells, and various myeloid and lymphoid cell subsets, the comprehensive single-cell analysis provides a detailed roadmap of the complex osteosarcoma ecosystem. Furthermore, we summarize the mutations, epigenetic mechanisms, and extracellular vesicles that dictate the immunologic landscape and modulate the TIME of osteosarcoma. The perspectives of the clinical implementation of immunotherapy and therapeutic approaches for targeting immune cells are also intensively discussed.