Background Osteosarcoma is a primary malignant tumor originating from mesenchymal tissue, with a poor distant metastasis prognosis. The molecular mechanisms of osteosarcoma metastasis are extremely complicated. Methods A public data series (GSE21257) was used to identify differentially expressed genes (DEGs) in osteosarcoma patients that did, or did not, develop metastases. Functional enrichment analysis, a protein-protein interaction network, and survival analysis of DEGs were performed. DEGs with a prognostic value were considered as candidate genes and their functional predictions, different expression in normal and malignant tissues, and immune infiltration were analyzed. Results The DEGs were mainly enriched in the immune response. Three candidate genes (ALOX5AP, CD74, and FCGR2A) were found, all of which were expressed at higher levels in lungs and lymph nodes than in matched cancer tissues and were probably expressed in the microenvironment. Conclusions Candidate genes can help us understand the molecular mechanisms underlying osteosarcoma metastasis and provide targets for future research.