Osteosarcoma is a rare primary bone cancer characterized by cancer cells producing calcified osteoid extracellular matrix and inducing lung metastases with a high frequency. The local microenvironment defined several tumor niches controlling the tumor growth and cell extravasation. The immune infiltrate composes one of these niches. The immune environment of osteosarcoma is mainly composed by T-lymphocytes and macrophages but also contains other subpopulations including B-lymphocytes and mast cells. Osteosarcoma cells control the recruitment and differentiation of immune infiltrating cells and establish a local immune tolerant environment favorable to the tumor growth, drug resistance and the occurrence of metastases. Osteosarcoma cells are able to affect the balance between M1 and M2 macrophage subtypes and so could control the T-lymphocyte responses via the PD-1/PDL-1 system. In addition, mesenchymal stem cells may also contribute to this immune tolerance and strengthen the immune evasion. The present review gives a brief overview of the immune components of osteosarcoma and their most recent therapeutic interests.