Autophagy is used by organisms as a defense strategy to face environmental stress. This mechanism has been described as one of the most important intracellular pathways responsible for the degradation and recycling of proteins and organelles. It can act as a cell survival mechanism if the cellular damage is not too extensive or as a cell death mechanism if the damage/stress is irreversible; in the latter case, it can operate as an independent pathway or together with the apoptotic one. In this review, we discuss the autophagic process activated in several aquatic organisms exposed to different types of environmental stressors, focusing on the sea urchin embryo, a suitable system recently included into the guidelines for the use and interpretation of assays to monitor autophagy. After cadmium (Cd) exposure, a heavy metal recognized as an environmental toxicant, the sea urchin embryo is able to adopt different defense mechanisms, in a hierarchical way. Among these, autophagy is one of the main responses activated to preserve the developmental program. Finally, we discuss the interplay between autophagy and apoptosis in the sea urchin embryo, a temporal and functional choice that depends on the intensity of stress conditions.