Osteosarcoma is the most common primary malignancy of bone. Although outcomes of patients with osteosarcoma have improved since the introduction of chemotherapy, outcomes of metastatic or unresectable osteosarcomas are still unsatisfactory. To improve osteosarcoma outcomes, the development of novel systemic therapies for osteosarcoma is needed. Since the 1880s, various immunotherapies have been utilized in patients with osteosarcoma and some patients have shown response to the treatment. Based on recent studies about the role of the immune system in malignancies, immunotherapies including immune modulators such as interleukin-2 and muramyl tripeptide, dendritic cells, immune checkpoint inhibitors, and engineered T cells have been utilized in patients with malignancies. Although there are limited reports of immunotherapies for osteosarcoma, immunotherapy is thought to be a promising treatment option for treating osteosarcomas. In this review, an overview of various immunotherapies for osteosarcoma is provided and their potential as adjuvant therapies is discussed.