Diagnosis of transmissible spongiform encephalopathies (TSEs), or prion diseases, is based on the detection of proteinase K (PK)-resistant PrPSc in post-mortem tissues as indication of infection and disease. Since PrPSc detection is not considered a reliable method for in vivo diagnosis in most TSEs, it is of crucial importance to identify an alternative source of biomarkers to provide useful alternatives for current diagnostic methodology. Ovine scrapie is the prototype of TSEs and has been known for a long time. Using this natural model of TSE, we investigated the presence of PrPSc in exosomes derived from plasma and cerebrospinal fluid (CSF) by protein misfolding cyclic amplification (PMCA) and the levels of candidate microRNAs (miRNAs) by quantitative PCR (qPCR). Significant scrapie-associated increase was found for miR-21-5p in plasma-derived but not in CSF-derived exosomes. However, miR-342-3p, miR-146a-5p, miR-128-3p and miR-21-5p displayed higher levels in total CSF from scrapie-infected sheep. The analysis of overexpressed miRNAs in this biofluid, together with plasma exosomal miR-21-5p, could help in scrapie diagnosis once the presence of the disease is suspected. In addition, we found the presence of PrPSc in most CSF-derived exosomes from clinically affected sheep, which may facilitate in vivo diagnosis of prion diseases, at least during the clinical stage.