Background: Immune cells account for a large proportion of the tumour microenvironment in anaplastic thyroid carcinomas (ATCs). However, the expression pattern of immune-related genes (IRGs) in ATCs is unclear. Our study aimed to identify an immune-related signature indicating the dedifferentiation of thyroid cells. Methods: We compared the differences in thyroid differentiation score (TDS), infiltration of immune cells and enriched pathways between ATCs and papillary thyroid carcinomas (PTCs) or normal thyroid tissues in the Gene Expression Omnibus database. Univariate and multivariable Cox analyses were used to screen prognosis-associated IRGs in The Cancer Genome Atlas database. After constructing a risk score, we investigated its predictive value for differentiation and survival by applying receiver operating characteristic and Kaplan–Meier curves. We further explored its associations with important immune checkpoint molecules, infiltrating immune cells and response to immunotherapy. Results: Compared with PTCs or normal thyroid tissues, ATCs exhibited lower TDS values and higher enrichment of immune cells and activation of the inflammatory response. The quantitative analyses and immunohistochemical staining validated that most ATC cell lines and ATC tissues had higher expression of MMP9 and lower expression of SDC2 than normal thyroid samples and PTC. Higher risk scores indicates dedifferentiation and a worse prognosis. Additionally, the risk score was positively correlated with the immune checkpoint molecules PDL1, CTLA4, IDO1, and HAVCR2 and infiltration of multiple immune cells. Importantly, we found that the samples with higher risk scores tended to have a better response to immunotherapy than those with lower scores. Conclusion: Our findings indicate that the risk score may not only contribute to the determination of differentiation and prognosis of thyroid carcinomas but also help the prediction of immune cells infiltration and immunotherapy response. © 2021, The Author(s).