Background: The global incidence of thyroid carcinoma (THCA) is gradually increasing. Our investigation aims to establish a signature relevant to pyroptosis and mitophagy, which could provide new insights into prognostic biomarkers and therapeutic targets associated with THCA. Methods: Gene sequencing data and clinical information were obtained from The Cancer Genome Atlas (TCGA) database and Gene Expression Omnibus (GEO) database. A six-gene prognosis signature of pyroptosis- and mitophagy-related differentially expressed genes (PMRDEGs) was constructed using least absolute shrinkage and selection operator (LASSO) regression analysis. The prognostic efficacy of the risk score model in the TCGA-THCA cohort was evaluated using Kaplan-Meier (KM) survival plots and receiver operating characteristic (ROC) curve analysis. Functional enrichment analysis identified the potential for differential expression of biological pathways across various subgroups of risk scores. The features of the tumor microenvironment associated with the risk score were investigated using the CIBERSORT algorithm for immune infiltration analysis. The pyroptosis and mitophagy score was calculated to predict the response to immune-checkpoint inhibitor (ICI) treatment in thyroid cancer. Additionally, real-time quantitative PCR (qPCR) and Western Blot (WB) were utilized to investigate the expression levels of hub genes. Results: A prognostic signature consisting of six pyroptosis- and mitophagy-related genes (Apolipoprotein E (APOE), Ephrin type-A receptor 2 (EPHA2), DEAD-box helicase 3 (DDX3X), Centrosome protein 55 (CEP55), Kinesin family member 23 (KIF23), H2B clustered histone 9 (H2BC9)) was established, and participants were stratified into high- and low-risk groups based on their risk levels. When comparing the progression-free interval (PFI) of the high-risk group with that of the low-risk group, Kaplan-Meier (KM) analysis revealed a statistically significant reduction in PFI for the high-risk group (p < 0.05). Gene Set Variation Analysis (GSVA) illustrated differential expression of 20 pathways between the high- and low-risk groups, including activation of Neurotrophic receptor tyrosine kinase 2 (NTRK2) signals through the Phosphoinositide 3-kinase (PI3K) pathway (p < 0.001). Immune infiltration analysis demonstrated significant variations in immune cell distribution between the two investigated groups (p < 0.05). According to quantitative real-time PCR (qRT-PCR) findings, mRNA expression levels of APOE, EPHA2, CEP55, and KIF23 were significantly higher in tumor cells (p < 0.01). Additionally, expression levels of the pyroptosis-associated proteins NOD-like receptor thermal protein domain associated protein 3 (NLRP3), Gasdermin-D, and Caspase-1 were significantly downregulated in the si-KIF23 group (p < 0.05). Conclusions: Our study developed a prognostic risk model for thyroid cancer, comprising six pyroptosis- and mitophagy-related genes. This model serves as a valuable marker for prognosis, diagnosis, and predicting the response to immunotherapy in individuals with THCA.