(1) Background: Sleep deprivation (SD) triggers a range of neuroinflammatory responses. Dexmedetomidine can improve sleep deprivation-induced anxiety by reducing neuroinflammatory response but the mechanism is unclear; (2) Methods: The sleep deprivation model was established by using an interference rod device. An open field test and an elevated plus maze test were used to detect the emotional behavior of mice. Mouse cortical tissues were subjected to RNA sequence (RNA-seq) analysis. Western blotting and immunofluorescence were used to detect the expression of p38/p-p38, MSK1/p-MSK1, and NFκBp65/p- NFκBp65. Inflammatory cytokines were detected using enzyme-linked immunosorbent assay (ELISA); (3) Results: SD triggered anxiety-like behaviors in mice and was closely associated with inflammatory responses and the MAPK pathway (as demonstrated by transcriptome analysis). SD led to increased expression levels of p-p38, p-MSK1, and p-NFκB. P38 inhibitor SB203580 was used to confirm the important role of the p38/MSK1/NFκB pathway in SD-induced neuroinflammation. Dexmedetomidine (Dex) effectively improves emotional behavior in sleep-deprived mice by attenuating SD-induced inflammatory responses and oxidative stress in the cerebral cortex, mainly by inhibiting the activation of the p38/MSK1/NFκB pathway; (4) Conclusions: Dex inhibits the activation of the p38/MSK1/NFκB pathway, thus attenuating SD-induced inflammatory responses and oxidative stress in the cerebral cortex of mice.