Ovarian cancer (OC) is the main cause of deaths worldwide in female reproductive system malignancies. Growing studies have indicated that eRNAs could regulate cellular activities in various tumors. Yet the potential roles of eRNAs in OC progression have not been elucidated. Thus, comprehensive assays were needed to screen the critical eRNAs and to explore their possible function in OC. We used Kaplan-Meier methods to identify survival-associated eRNAs in OC based on TCGA datasets. The levels of ZFHX4-AS1 were examined using TCGA datasets. Further exploration was carried out based on the following assays: clinical and survival assays, GO terms, and KEGG assays. TIMER was applied to delve into the relationships between ZFHX4-AS1 and tumor immune infiltration. In this research, we observed 71 survival-related eRNAs in OC patients. ZFHX4-AS1 was highly expressed in OC specimens and predicted a poor prognosis of OC patients. In addition, high ZFHX4-AS1 expression was positively related to the advanced stages of OC specimens. Multivariate assays revealed that ZFHX4-AS1 was an independent prognostic factor for overall survival of OC patients. KEGG analysis indicated that ZFHX4-AS1 may play a regulatory effect on TGF-beta signaling, PI3K-Akt signaling, and proteoglycans in cancer. The pan-cancer validation indicated that ZFHX4-AS1 was related to survival in eight tumors, namely, UCEC, STAD, SARC, OV, ACC, KICH, KIRC, and BLCA. The expression of ZFHX4-AS1 was correlated with the levels of B cells, T cell CD8+, neutrophil, macrophage, and myeloid dendritic cells. Simultaneously, ZFHX4-AS1 may be a prognostic biomarker and a distinctly immunotherapy-related eRNA in OC.