Intestinal epithelial cells are derived from stem cells at the crypts that undergo differentiation into transit‐amplifying cells, which in turn form terminally differentiated enterocytes as these cells reach the villus. Extensive alterations in both transcriptional and translational programs occur during differentiation, which can induce the activation of cellular stress responses such as ER stress‐related unfolded protein response (UPR) and autophagy, particularly in the cells that are already committed to becoming absorptive cells. Using an epithelial cell model of enterocyte differentiation, we report a mechanistic study connecting enterocyte differentiation to UPR and autophagy. We report that differentiated colon epithelial cells showed increased cytosolic Ca2+ levels and activation of all three pathways of UPR: inositol‐requiring enzyme 1 (IRE1), protein kinase RNA‐like ER kinase, and activating transcription factor 6 (ATF6) compared to the undifferentiated cells. Enhanced UPR in the differentiated cells was accompanied by the induction of autophagy as evidenced by increased ratio of light chain 3 II/I, upregulation of Beclin‐1, and downregulation of p62. We show for the first time that mechanistically, the upregulation of hepatocyte nuclear factor 4α (HNF4α) during differentiation led to increased promoter binding and transcriptional upregulation of two major proteins of UPR: X‐box binding protein‐1 and ATF6, implicating HNF4α as a key regulator of UPR response during differentiation. Integrating wet‐lab with in silico analyses, the present study links differentiation to cellular stress responses, and highlights the importance of transcription factor signaling and cross‐talk between the cellular events in the regulation of intestinal cell differentiation.