One of the most common primary bone malignant tumors is osteosarcoma (OS), possessing a high tendency of local invasion and distant metastasis. Although surgery combined with chemotherapy can extend the patients’ survival time, the prognosis for most patients with metastases or relapses is poor. Immunotherapy has been proved to be a promising treatment alternative for malignant tumors. Although there is a significant amount of animal- and cell-based evidence supporting the relationship between immune checkpoint inhibitors (anti-PD-1, anti-PD-L1, anti-CTLA-4) and cancers, no pan-cancer analysis is available. Simultaneously, immune checkpoint inhibitors have demonstrated satisfactory clinical results in some tumors; however, only a small fraction of patients with certain cancer types have been benefitted. Therefore, based on the TCGA dataset, we first explored the potential roles of immune checkpoints in 33 tumors. Programmed death receptor 1 (PD-1), programmed cell death ligand 1 (PD-L1), and cytotoxic T lymphocyte antigen 4 (CTLA-4) were not consistently expressed in the same direction in all tumors; however, the direction of expression change was the same in most immune cells. Although there is no well-established relationship between the expression of PD-1/PD-L1/CTLA-4 genes and the prognosis of patients with sarcomas, their interaction and extent of immune cell infiltration into sarcomas are probably the key determinants of therapeutic response. Our first pan-cancer study provides a relatively comprehensive understanding of immune checkpoint inhibitors in different sarcomas.