In some cases of spontaneous miscarriage (SM), the exact etiology cannot be determined. Autophagy, which is responsible for cellular survival under stress conditions, has also been implicated in many diseases. Recently, it is also surmised to be correlated with SM. However, the detailed mechanism remains elusive. In fact, there are several essential steps during pregnancy establishment and maintenance: trophoblasts invasion, placentation, decidualization, enrichment and infiltration of decidua immune cells (e.g., natural killer, macrophage and T cells). Accordingly, upstream molecules and downstream effects of autophagy are discussed in these processes, respectively. Of note, autophagy regulates the crosstalk between these cells at the maternal-fetal interface as well. Aberrant autophagy is found in villi, decidual stromal cells, peripheral blood mononuclear cells in SM patients, although the findings are inconsistent among different studies. Furthermore, potential treatments targeting autophagy are included, during which rapamycin and vitamin D are hot-spots in recent literatures. To conclude, a moderately activated autophagy is deeply involved in pregnancy, suggesting that autophagy should be a regulator and promising target for treating SM.