The tumor microenvironment (TME) is complex, and its composition and dynamics determine tumor fate. From tumor cells themselves, with their capacity for unlimited replication, migration, and invasion, to fibroblasts, endothelial cells, and immune cells, which can have pro and/or anti-tumor potential, interaction among these elements determines tumor progression. The understanding of molecular pathways involved in immune escape has permitted the development of cancer immunotherapies. Targeting molecules or biological processes that inhibit antitumor immune responses has allowed a significant improvement in cancer patient’s prognosis. Autophagy is a cellular process required to eliminate dysfunctional proteins and organelles, maintaining cellular homeostasis. Usually a process associated with protection against cancer, autophagy associated to cancer cells has been reported in response to hypoxia, nutrient deficiency, and oxidative stress, conditions frequently observed in the TME. Recent studies have shown a paradoxical association between autophagy and tumor immune responses. Tumor cell autophagy increases the expression of inhibitory molecules, such as PD-1 and CTLA-4, which block antitumor cytotoxic responses. Moreover, it can also directly affect antitumor immune responses by, for example, degrading NK cell-derived granzyme B and protecting tumor cells. Interestingly, the activation of autophagy on dendritic cells has the opposite effects, enhancing antigen presentation, triggering CD8+ T cells cytotoxic activity, and reducing tumor growth. Therefore, this review will focus on the most recent aspects of autophagy and tumor immune environment. We describe the dual role of autophagy in modulating tumor immune responses and discuss some aspects that must be considered to improve cancer treatment.