Osteosarcoma is the most common primary bone tumor and represents a major therapeutic challenge in medical oncology. While the use of aggressive chemotherapy has drastically improved the prognosis of the patients with non-metastatic osteosarcomas, the very poor prognosis of patients with metastasis have led to the exploration of new, more effective and less toxic treatments, such as immunotherapy for curing osteosarcoma. Compared to the numerous reports describing successful immunotherapy for other solid tumors, the number of reports concerning immunotherapy for osteosarcoma is low. However, this therapeutic strategy opens new areas for the treatment of osteosarcoma. In this review, the reasons for delay and all elements essential to develop immunotherapy concerning osteosarcoma are defined. Several pieces of evidence strongly support the potential capability of new therapies such as cellular therapy and gene therapy to eradicate osteosarcoma. Thus, clinical human trials using peptides, cytokines and dendritic cells have been performed. Tumor-infiltrating lymphocytes and some tumor antigens have been identified in osteosarcoma and resulted in an important breakthrough in cellular immunotherapy. Also, RANKL/RANK/OPG, the key regulator of bone metabolism, is a hot spot in this field as therapeutic tools. Immunotherapy for osteosarcomas has great potential, promising improvement in the survival rate and better quality of life for the patients.