Patient outcomes of osteosarcoma vary because of tumor heterogeneity and treatment strategies. This study aimed to compare the performance of multiple machine learning (ML) models with the traditional Cox proportional hazards (CoxPH) model in predicting prognosis and explored the potential of ML models in clinical decision-making. From 2000 to 2018, 1243 patients with osteosarcoma were collected from the Surveillance, Epidemiology, and End Results (SEER) database. Three ML methods were chosen for model development (DeepSurv, neural multi-task logistic regression [NMTLR]) and random survival forest [RSF]) and compared them with the traditional CoxPH model and TNM staging systems. 871 samples were used for model training, and the rest were used for model validation. The models' overall performance and predictive accuracy for 3- and 5-year survival were assessed by several metrics, including the concordance index (C-index), the Integrated Brier Score (IBS), receiver operating characteristic curves (ROC), area under the ROC curves (AUC), calibration curves, and decision curve analysis. The efficacy of personalized recommendations by ML models was evaluated by the survival curves. The performance was highest in the DeepSurv model (C-index, 0.77; IBS, 0.14; 3-year AUC, 0.80; 5-year AUC, 0.78) compared with other methods (C-index, 0.73-0.74; IBS, 0.16-0.17; 3-year AUC, 0.73-0.78; 5-year AUC, 0.72-0.78). There are also significant differences in survival outcomes between patients who align with the treatment option recommended by the DeepSurv model and those who do not (hazard ratio, 1.88; P < .05). The DeepSurv model is available in an approachable web app format at https://survivalofosteosarcoma.streamlit.app/. We developed ML models capable of accurately predicting the survival of osteosarcoma, which can provide useful information for decision-making regarding the appropriate treatment.