Background: Bone sarcomas are a group of very rare malignant tumors. Few studies exist on the psychological distress of patients. We aimed to determine the prevalence of psychological distress, to evaluate associated factors and to assess the utilization of psycho-oncological services. Methods: The cohort study PROSa (Burden and medical care of sarcoma in Germany) was conducted between 2017 and 2020 in 39 German study centers. Cross-sectional data from adult bone sarcoma patients were analyzed. Psychological distress was measured with the Patient Health Questionnaire (PHQ-4). Socioeconomic and clinical factors were analyzed exploratively with logistic regression models. Results: Among 194 included patients, the prevalence of anxiety symptoms was 18%, and of depressive disorder was 22%. Overall, 29% suffered from psychological distress. 23% of patients had sought psycho-oncological care. Unemployed patients (odds ratio [OR] 5.7; 95% confidence interval [CI] 1.6–20.0) and those with a disability pension (OR 3.6; 95% CI 1.03–12.9) were more likely to experience distress compared to patients who were employed. On the other hand, the likelihood was lower in patients who were retired (+early retirement + partial retirement; OR 0.2; 95% CI 0.05–0.9). The risk of psychological distress decreased significantly 5 years after diagnosis (comparison: diagnosis < 6 months; OR 0.1; 95% CI 0.04–0.4). Conclusion: The prevalence of psychological distress in bone sarcoma patients is high. Unemployed patients, those with a disability pension and newly diagnosed patients are vulnerable. Clinicians and psycho-oncologists should be aware of these factors and consider the social aspects of the disease.