Let $E_p(x)$ denote the Artin-Hasse exponential and let $\overline{E}_p(x)$ denote its reduction modulo $p$ in $\mathbb{F}_p[[x]]$. In this article we study transcendence properties of $\overline{E}_p(x)$ over $\mathbb{F}_p[x]$. We give two proofs that $\overline{E}_p(x)$ is transcendental, affirmatively answering a question of Thakur. We also prove algebraic independence results: i) for $f_1,\dots,f_r \in x\mathbb{F}_p[x]$ satisfying certain linear independence properties, we show that the $\overline{E}_p(f_1), \dots, \overline{E}_p(f_r)$ are algebraically independent over $\mathbb{F}_p[x]$ and ii) we determine the algebraic relations between $\overline{E}_p(cx)$, where $c \in \mathbb{F}_p^\times$. Our proof studies the higher derivatives of $\overline{E}_p(x)$ and makes use of iterative differential Galois theory.