Retinal pericyte migration occurs in the early stage of diabetic retinopathy (DR), which is one of the important causes of pericyte loss. Autophagy has been found to play essential roles in the regulation of many types of cell migration. In this study, we explored the relationship between autophagy and retinal pericyte migration. In diabetic rats, the retinas became thinner, and the level of autophagy in each cell layer increased. In the primary culture of bovine retinal pericytes, we found that advanced glycation end products (AGEs) increased the migratory cell ability without influencing cell viability, which also increased the phosphorylation of focal adhesion kinase (FAK) and the expression of matrix metalloproteinase (MMP)-2 and decreased the expression of vinculin. AGEs-induced retinal pericyte autophagy and the inhibition of autophagy with chloroquine significantly inhibited cell migration, reversed AGEs-induced FAK phosphorylation, and changed vinculin and MMP-2 protein expression. These results provide a new insight into the migration mechanism of retinal pericytes. The early control of autophagy has a potential effect on regulating pericyte migration, which may contribute to keeping the integrity of retinal vessels in DR.