The bedding that you buy may be contaminated with mites or they could be transferred from another pet in your house. Whatever the case, your hedgehog will need to be treated.
Many people confuse fleas with mites. Fleas are pretty uncommon in hedgehogs. Most flea treatments are dangerous for hedgehogs, so avoid trying any over-the-counter flea treatments. Mites can be treated with Revolution (prescribed by a vet).
Ivermectin can be used topically/ or orally to treat hedgehogs, but I wouldn’t recommend it unless you have had good results with it in the past. I do use it on rabbits, but hedgehogs are smaller making it harder to get the dosage correct and you will need to administer 3 doses at 2 week intervals. I have also heard of cases of hedgehogs dying from Ivermectin, possibly from overdosing or fatal injections. Revolution clears it up in just one dose, so I’ll be sticking with that.
Bathing your hedgehog once per month in warm water with a few drops of olive oil will help to prevent mite infestations. I give olive oil baths regularly and have not had mites yet. This could also be due to a little bit of luck, but I know the olive oil helps.
Prevention can also include not buying bedding in a pet store where the bedding is close to small animals/birds. Mites could migrate into the bedding and create problems. I purchase my bedding from The Tractor Supply Company and have had good luck.