Inclusion Criteria:

          -  Participants must have had a histologic diagnosis of osteosarcoma at original
             diagnosis

          -  Disease Status: Patients with an isolated pulmonary recurrence of osteosarcoma can be
             enrolled on this study.

               -  Any history of metastatic disease at a site other than lung would make the
                  patient ineligible for this study.

               -  The patient's treating team must consider the patient's disease to be resectable
                  and the patient must be willing to undergo resection of all disease, including
                  any lung lesion meeting criteria for likely metastatic disease, defined as: 3 or
                  more lesions ≥ 3 mm in diameter OR a single lesion ≥ 5 mm.

               -  Patients with bilateral disease are eligible provided their disease is considered
                  resectable. Resectable pulmonary nodules are defined as nodules that can be
                  removed without performing a pneumonectomy (e.g., nodules immediately adjacent to
                  the main stem bronchus or main pulmonary vessels).

          -  Must have a performance status corresponding to Eastern Cooperative Oncology Group
             (ECOG) scores of 0, 1 or 2, using the Karnofsky scale for patients > 16 years of age
             and the Lansky scale for patients ≤ 16 years of age

          -  Prior Therapy: Participants must have fully recovered from the acute toxic effects of
             all prior chemotherapy, immunotherapy, or radiotherapy prior to the start of protocol
             therapy.

          -  Participants must have normal organ and marrow function within 7 days of starting
             protocol therapy

          -  All participants and/or their parents or legal guardians must have the ability to
             understand and the willingness to sign a written informed consent/assent document

          -  Additional criteria may apply

        Exclusion Criteria:

          -  Pregnancy or Breast Feeding

          -  Males and females of reproductive potential may not participate unless they have
             agreed to the use of, at minimum, two methods of contraception, with one method being
             highly effective and the other method being either highly effective or less effective
             as outlined in study protocol documentation

          -  Concomitant Medications: Patients receiving the following are not eligible:

               -  Corticosteroids or other immunosuppressive medications

          -  Patients who are currently receiving other investigational agents or other anti-cancer
             therapy

          -  Intercurrent Illnesses: Patients with uncontrolled intercurrent illness including, but
             not limited to:

               -  Ongoing or active infection

               -  Symptomatic congestive heart failure

               -  Unstable angina pectoris

               -  Cardiac arrhythmia

               -  Psychiatric illness/social situations that would limit compliance with study
                  requirements

          -  Autoimmune disorders: Patients with a history of any Grade autoimmune disorder are not
             eligible.

          -  Asymptomatic laboratory abnormalities (e.g., ANA, rheumatoid factor, altered thyroid
             function studies) will not render a patient ineligible in the absence of a diagnosis
             of an autoimmune disorder.

          -  Patients with ≥ Grade 2 hypothyroidism due to history of autoimmunity are not
             eligible. Note: Hypothyroidism due to previous irradiation or thyroidectomy will not
             impact eligibility

          -  Allergies: Patients with a history of allergic reactions attributed to compounds of
             similar chemical or biologic composition to Nivolumab (e.g., another humanized
             antibody) or Azacitidine are not eligible

          -  Safety and Monitoring: Patients who are considered unable to comply with the safety
             monitoring requirements of the study are not eligible

          -  Patients with known HIV or hepatitis B or C are excluded

          -  Patients who have received prior solid organ transplantation are not eligible

          -  Patients who have received prior anti-PD-1 directed therapy (mAb or small molecule)
             are not eligible