Breast cancer (BC) affects the breast tissue and is the second most common cause of mortalities among women. Ferroptosis is an iron-dependent cell death mode that is characterized by intracellular accumulation of reactive oxygen species (ROS). We constructed a prognostic multigene signature based on ferroptosis-associated differentially expressed genes (DEGs). Moreover, we comprehensively analyzed the role of ferroptosis-associated miRNAs, lncRNAs, and immune responses. A total of 259 ferroptosis-related genes were extracted. KEGG function analysis of these genes revealed that they were mainly enriched in the HIF-1 signaling pathway, NOD-like receptor signaling pathway, central carbon metabolism in cancer, and PPAR signaling pathway. Fifteen differentially expressed genes (ALOX15, ALOX15B, ANO6, BRD4, CISD1, DRD5, FLT3, G6PD, IFNG, NGB, NOS2, PROM2, SLC1A4, SLC38A1, and TP63) were selected as independent prognostic factors for BC patients. Moreover, T cell functions, including the CCR score, immune checkpoint, cytolytic activity, HLA, inflammation promotion, para-inflammation, T cell co-stimulation, T cell co-inhibition, and type II INF responses were significantly different between the low-risk and high-risk groups of the TCGA cohort. Immune checkpoints between the two groups revealed that the expressions of PDCD-1 (PD-1), CTLA4, LAG3, TNFSF4/14, TNFRSF4/8/9/14/18/25, and IDO1/2 among others were significantly different. A total of 1185 ferroptosis-related lncRNAs and 219 ferroptosis-related miRNAs were also included in this study. From the online database, we identified novel ferroptosis-related biomarkers for breast cancer prognosis. The findings of this study provide new insights into the development of new reliable and accurate cancer treatment options.