Identification of effective biomarkers is crucial to improve the efficacy of immunotherapy in patients with osteosarcoma. Tumor-associated M2 macrophages, an important immune cell type in the tumor immune microenvironment, are closely related to the formation and progression of tumors. However, the relationships of M2 macrophages and prognosis and the immunotherapy response to osteosarcoma remain unclear. In this study, we obtained single-cell RNA sequencing (scRNA-seq) data of osteosarcoma from the gene expression omnibus (GEO) database and performed trajectory analysis and cell communication analysis. We then identified M2 macrophage marker genes based on scRNA-seq data of osteosarcoma, and constructed a risk-score model using these genes. Next, we compared the survival status and immune features of patients with high and low risk scores. Based on scRNA-seq data, we found that macrophages were the major immune cell type in the osteosarcoma microenvironment, and the high proportion of M2 macrophages might result from the transition of macrophages M1 to M2. M2 macrophages communicated with osteoblastic cells via the APP, MIF, and SPP1 signaling pathways, facilitating osteosarcoma development. Moreover, we identified 189 osteosarcoma-related M2 macrophage marker genes and screened out 10 key genes used for model constrcution. These 10 genes consisted of two known M2 macrophage markers and eight novel M2 macrophage marker genes. Low-risk patients have a statistically significant survival advantage, which was verified in the four GEO datasets. Low-risk patients also displayed a high abundance of tumor-infiltrating immune cells, indicative of an "hot" immune phenotype, while high-risk patients displayed an opposite immunologic feature. Notably, our analysis of two independent immunotherapy cohorts revealed that low-risk patients had good immunotherapy responses and outcomes. Additionally, we determined 32 evidently correlated pairs between risk score and drug sensitivity. This study reveals a new prognostic signature based on M2 macrophage marker genes that can help optimize personalized prognosis and improve immunotherapy outcomes in patients with osteosarcoma and also provides a method for identifying effective biomarkers based on integrated analysis of single-cell and bulk RNA sequencing.