Primary myelofibrosis (PMF) is a rare myeloproliferative neoplasm characterized by stem-cell-derived clonal over-proliferation of mature myeloid lineages, bone marrow fibrosis, osteosclerosis, defective erythropoiesis, and pro-inflammatory cytokine over-expression. The aim of the present study was to highlight possible differences in the transcriptome among CD34+ cells from peripheral blood (PB) of PMF patients. Therefore, we merged two microarray datasets of healthy control subjects and PMF (34 JAK2V617F MUTATED and 28 JAK2 wild-type). The GO analysis of upregulated genes revealed enrichment for JAK2/STAT1 pathway gene set in PB CD34+ cells of PMF patients with and without the JAK2V617F mutation comparing to the healthy control subjects, and in particular a significant upregulation of immunoproteasome (IP)-belonging genes as PSMB8, PSMB9, and PSMB10. A more detailed investigation of the IFN-gamma (IFNG) pathway also revealed that IFNG, IRF1, and IFNGR2 were significantly upregulated in PB CD34+ cells of PMF patients carrying the mutation for JAK2V617F compared to JAK2 wild-type PMF patients. Finally, we showed an upregulation of HLA-class I genes in PB CD34+ cells from PMF JAK2V617F mutated patients compared to JAK2 wild-type and healthy controls. In conclusion, our results demonstrate that IPs and IFNG pathways could be involved in PMF disease and in particular in patients carrying the JAK2V617F mutation.