Osteosarcoma (OS) is one of the most common malignant neoplasms in children and adolescents. Immune infiltration into the microenvironment of the tumor has a positive correlation with overall survival in patients with OS. The purpose of this study was to search for potential diagnostic markers that are involved in immune cell infiltration for OS. Patients with OS who acquired metastases within 5 years (n= 34) were compared to patients who did not develop metastases within 5 years (n= 19). Differentially expressed genes (DEGs) were tested for in both patient groups. To discover possible biomarkers, the LASSO regression model and the SVM–RFE analysis were both carried out. With the assistance of CIBERSORT, the compositional patterns of the 22 different types of immune cell fraction in OS were estimated. In this research, a total of 33 DEGs were obtained: 33 genes were significantly downregulated. Moreover, we identified six critical genes, including ALOX5AP, HLA-DOA, HLA-DMA, HLA-DRB4, HCLS1 and LOC647450. ROC assays confirmed their diagnostic value with AUC > 0.7. In addition, we found that the six critical genes were associated with immune infiltration. Then, we confirmed the expression of ALOX5AP was distinctly decreased in OS specimens and cell lines. High expression of ALOX5AP predicted an advanced clinical stage and overall survival of OS patients. Functionally, we found that overexpression of ALOX5AP distinctly suppressed the proliferation, migration, invasion and EMT via modulating Wnt/β‐catenin signaling. Overall, we found that ALOX5AP overexpression inhibits OS development via regulation of Wnt/β‐catenin signaling pathways, suggesting ALOX5AP as a novel molecular biomarker for enhanced therapy of OS.