Autophagy is a dynamic cellular mechanism involved in protein and organelle turnover through lysosomal degradation. Autophagy regulation modulates the pathologies associated with many neurodegenerative diseases. Using sheep naturally infected with scrapie as a natural animal model of prion diseases, we investigated the regulation of autophagy in the central nervous system (CNS) during the clinical phase of the disease. We present a gene expression and protein distribution analysis of different autophagy-related markers and investigate their relationship with prion-associated lesions in several areas of the CNS. Gene expression of autophagy markers ATG5 and ATG9 was downregulated in some areas of scrapie brains. In contrast, ATG5 protein accumulates in medulla oblongata and positively correlates with prion deposition and scrapie-related lesions. The accumulation of this protein and p62, a marker of autophagy impairment, suggests that autophagy is decreased in the late phases of the disease. However, the increment of LC3 proteins and the mild expression of p62 in basal ganglia and cerebellum, primarily in Purkinje cells, suggests that autophagy machinery is still intact in less affected areas. We hypothesize that specific cell populations of the CNS may display neuroprotective mechanisms against prion-induced toxicity through the induction of PrPSc clearance by autophagy.