Autophagy is a fundamental catabolic process essential for the maintenance of cellular and tissue homeostasis, as well as directly contributing to the control of invading pathogens. Unsurprisingly, this process becomes critical in supporting cellular dysregulation that occurs in cancer, particularly the tumor microenvironments and their immune cell infiltration, ultimately playing a role in responses to cancer therapies. Therefore, understanding “cancer autophagy” could help turn this cellular waste-management service into a powerful ally for specific therapeutics. For instance, numerous regulatory mechanisms of the autophagic machinery can contribute to the anti-tumor properties of oncolytic viruses (OVs), which comprise a diverse class of replication-competent viruses with potential as cancer immunotherapeutics. In that context, autophagy can either: promote OV anti-tumor effects by enhancing infectivity and replication, mediating oncolysis, and inducing autophagic and immunogenic cell death; or reduce OV cytotoxicity by providing survival cues to tumor cells. These properties make the catabolic process of autophagy an attractive target for therapeutic combinations looking to enhance the efficacy of OVs. In this article, we review the complicated role of autophagy in cancer initiation and development, its effect on modulating OVs and immunity, and we discuss recent progress and opportunities/challenges in targeting autophagy to enhance oncolytic viral immunotherapy.