Although physical exercise-induced autophagy activation has been considered a therapeutic target to enhance tissue health and extend lifespan, the effects of different exercise models on autophagy in specific metabolic tissues are not completely understood. This descriptive investigation compared the acute effects of endurance (END), exhaustive (ET), strength (ST), and concurrent (CC) physical exercise protocols on markers of autophagy, genes, and proteins in the gastrocnemius muscle, heart, and liver of mice. The animals were euthanized immediately (0 h) and six hours (6 h) after the acute exercise for the measurement of glycogen levels, mRNA expression of Prkaa1, Ppargc1a, Mtor, Ulk1, Becn1, Atg5, Map1lc3b, Sqstm1, and protein levels of Beclin 1 and ATG5. The markers of autophagy were measured by quantifying the protein levels of LC3II and Sqstm1/p62 in response to three consecutive days of intraperitoneal injections of colchicine. In summary, for gastrocnemius muscle samples, the main alterations in mRNA expressions were observed after 6 h and for the ST group, and the markers of autophagy for the CC group were increased (i.e., LC3II and Sqstm1/p62). In the heart, the Beclin 1 and ATG5 levels were downregulated for the ET group. Regarding the markers of autophagy, the Sqstm1/p62 in the heart tissue was upregulated for the END and ST groups, highlighting the beneficial effects of these exercise models. The liver protein levels of ATG5 were downregulated for the ET group. After the colchicine treatment, the liver protein levels of Sqstm1/p62 were decreased for the END and ET groups compared to the CT, ST, and CC groups. These results could be related to diabetes and obesity development or liver dysfunction improvement, demanding further investigations.