MYBL2 (MYB proto-oncogene like 2) is an emerging prognostic marker for malignant tumors, and its potential role in osteosarcoma and its relationship with immune infiltration in pan-cancer is yet to be elucidated. We constructed a transcription factor activity profile of osteosarcoma using the single-cell regulatory network inference algorithm based on single-cell RNA sequencing data obtained from the Gene Expression Omnibus. Subsequently, we calculated the extent of MYBL2 activation in malignant proliferative osteoblasts. We also explored the association between MYBL2 and chemotherapy resistance in osteosarcoma. Furthermore, we systematically correlated MYBL2 with immunological signatures in the tumor microenvironment in pan-cancer, including immune cell infiltration, immune checkpoints, and tumor immunotherapy prognosis. Finally, we developed and validated a risk score (MRGS), derived an osteosarcoma risk score nomogram based on MRGS, and tested its ability to predict prognosis. MYBL2 and gene enrichment analyses in osteosarcoma and pan-cancer revealed that MYBL2 was positively correlated with cell proliferation and tumor immune pathways. MYBL2 expression positively correlated with SLC19A1 in pan-cancer and osteosarcoma cell lines. Pan-cancer immune infiltration analysis revealed that MYBL2 was correlated with myeloid-derived suppressor cells, Th2 cell infiltration, CD276, RELT gene expression, and tumor mutation burden. In summary, MYBL2 regulates proliferation, progression, and immune infiltration in osteosarcoma and pan-cancer. Therefore, we found that MYBL2 could be used as a potential marker for predicting the osteosarcoma prognosis. Patients with osteosarcoma and high MYBL2 expression are theoretically more sensitive to methotrexate. An osteosarcoma prognostic nomogram can provide new ideas in the search for osteosarcoma prognostic markers.