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Simple Summary: Bladder cancer is a type of malignant tumor. Eighty percent of patients are diagnosed with non-muscle-invasive bladder cancer (NMIBC), which has a good prognosis, but it reoccurs often. The other patients are diagnosed with muscle-invasive bladder cancer (MIBC), which is associated with high mortality and metastasis rates. We urgently need to explore novel early diagnostic biomarkers and therapeutic targets. Our study reveals the anti-cancer role of EPHA3 and its potential value in immunotherapy. Purpose: To assess the mechanism of EPH receptor A3 (EPHA3) and its potential value for immunotherapy in BLCA. Materials and Methods: The Cancer Genome Atlas (TCGA) bladder cancer (BLCA) database and the Gene Expression Omnibus (GEO) database were used for assessing whether EHPA3 could be used to predict BLCA prognosis. This work carried out in vitro and in vivo assays for exploring how EPHA3 affected the biological behaviors. The downstream pathway was explored using a Western blotting technique. The CIBERSORT, ESTIMATE, TIMER, and TIDE tools were used to predict the immunotherapy value of EPHA3 in BLCA. Results: EPHA3 was poorly expressed in BLCA (p < 0.05), its high expression is related to a good survival prognosis (p = 0.027 and p = 0.0275), and it has a good predictive ability for the histologic grade and status of BLCA (area under curve = 0.787 and 0.904). Overexpressed EPHA3 could inhibit BLCA cell biological behaviors, and it be associated with the downregulation of the Ras/pERK1/2 pathway. EPHA3 was correlated with several immune-infiltrating cells and the corresponding marker genes. Conclusions: EPHA3 could be regarded as an acceptable anti-cancer biomarker in BLCA. EPHA3 plays an inhibiting role in BLCA, and it could be the candidate immunotherapeutic target for BLCA. [ABSTRACT FROM AUTHOR]