Measurements of the electrodynamic response of spin-glass AuFe films in comparison with pure gold films are performed at frequencies from 0.3THz (10cm^-1) up to 1000 THz (33000cm^-1) using different spectroscopic methods. At room temperature the spectra of pure gold and of AuFe are typically metallic with the scattering rate of carriers in AuFe being significantly enlarged due to scattering on localized magnetic moments of Fe ions. In the spin-glass phase of AuFe at T = 5 K a pseudogap in the conductivity spectrum is detected with the magnitude close to the Ruderman-Kittel-Kasuya- Yosida (RKKY) energy for AuFe: Δ_RKKY ≈ 2.2meV. The origin of the pseudogap is associated with partial localization of electrons which mediate the RKKY interaction between localized magnetic Fe centers.