Transmissible Spongiform Encephalopathies (TSEs), including prion diseases such as Bovine Spongiform Encephalopathy (Mad Cow Disease) and variant Creutzfeldt–Jakob Disease, pose unique challenges to the scientific and medical communities due to their infectious nature, neurodegenerative effects, and the absence of a cure. Central to the progression of TSEs is the conversion of the normal cellular prion protein (PrPC) into its infectious scrapie form (PrPSc), leading to neurodegeneration through a complex interplay involving the immune system. This review elucidates the current understanding of the immune response in prion diseases, emphasizing the dual role of the immune system in both propagating and mitigating the disease through mechanisms such as glial activation, cytokine release, and blood–brain barrier dynamics. We highlight the differential cytokine profiles associated with various prion strains and stages of disease, pointing towards the potential for cytokines as biomarkers and therapeutic targets. Immunomodulatory strategies are discussed as promising avenues for mitigating neuroinflammation and delaying disease progression. This comprehensive examination of the immune response in TSEs not only advances our understanding of these enigmatic diseases but also sheds light on broader neuroinflammatory processes, offering hope for future therapeutic interventions.