Primary central nervous system lymphoma (PCNSL) is an aggressive and rare disease. Autophagy is a catabolic mechanism boosting various tumors, including lymphomas; its inhibition is thus a promising therapeutic target. Its presence has never been studied in PCNSLs. We conducted a retrospective immunohistochemical study of 25 PCNSLs for LC3B, p62, and M6PR, comparing it with clinicopathological characteristics. Fourteen (56%) and eleven (44%) PCNSLs were of low and high LC3B expression, respectively. p62 expression was present in most tumors (n = 21, 84%). M6PR was present in all tumors, with 14 (56%) and 11 (44%) cases being of low and high M6PR expression, respectively. LC3B expression was correlated with the performance status (PS) (p = 0.04). No association was found with other clinical parameters, such as deep structure invasion, multiple lesions, complete response, and recurrence after response. p62 showed a strong positive association with MUM1 expression (p = 0.0005). M6PR expression showed a positive correlation (p = 0.04) with PD-L1 expression. No association was found with p53, Ki67, CD8, BCL2, BCL6, or double MYC/BLC2 co-expressors. No association of LC3B, p62, and M6PR expression with survival was found. Our findings provide evidence for the possible presence of autophagic markers in PCNSLs and, thus, for possible treatment targets.