Dysregulation of autophagy is an important underlying cause in the onset and progression of many metabolic diseases, including diabetes. Studies in animal models and humans show that impairment in the removal and the recycling of organelles, in particular, contributes to cellular damage, functional failure, and the onset of metabolic diseases. Interestingly, in certain contexts, inhibition of autophagy can be protective. While the inability to upregulate autophagy can play a critical role in the development of diseases, excessive autophagy can also be detrimental, making autophagy an intricately regulated process, the altering of which can adversely affect organismal health. Autophagy is indispensable for maintaining normal cardiac and vascular structure and function. Patients with diabetes are at a higher risk of developing and dying from vascular complications. Autophagy dysregulation is associated with the development of heart failure, many forms of cardiomyopathy, atherosclerosis, myocardial infarction, and microvascular complications in diabetic patients. Here, we review the recent findings on selective autophagy in hyperglycemia and diabetes-associated microvascular and macrovascular complications.