The prognosis of bladder cancer patients is strongly related to both the immune-infiltrating cells and the expression of lncRNAs. In this study, we analyzed the infiltration of immune cells in 403 bladder cancer samples obtained from TCGA by applying the ssGSEA to these samples, then dividing them into high/low immune cell infiltration groups. Based on these groupings, we found 404 differentially expressed immune infiltration-related lncRNAs, which were successively analyzed by univariate Cox regression, then Least Absolute Shrinkage and Selection Operator (LASSO), and finally stepwise multiple Cox regression. Then 12 differentially expressed immune infiltration-related lncRNAs were identified and used to construct a prognostic signature for bladder cancer. Subsequently, Kaplan-Meier analysis, univariate Cox regression, multivariate Cox regression, and multivariate time-dependent ROC analyses (for 1, 3, 5 years) all revealed that this signature performed well in predicting overall survival and served as an independent prognostic factor for patients with bladder cancer. Finally, both TIMER and CIBESORT showed that this 12-lncRNA prognostic signature for bladder cancer was associated with the infiltration of immune cell subtypes. Besides, nomogram considered risk score and clinical characteristics was assembled and showed great performance. More importantly, we found our signature could well distinguish the drug response of patients with bladder cancer. High risk patients showed a better response to cisplatin, doxorubicin, and anti- CTLA4 immunotherapy, low risk patients showed a better response to methotrexate and anti-PD1 immunotherapy compared with each other.