Autophagy is a highly conserved metabolic pathway via which unwanted intracellular materials, such as unfolded proteins or damaged organelles, are digested. It is activated in response to conditions of oxidative stress or starvation, and is essential for the maintenance of cellular homeostasis and other vital functions, such as differentiation, cell death, and the cell cycle. Therefore, autophagy plays an important role in the initiation and progression of tumors, including hematological malignancies, where damaged autophagy during hematopoiesis can cause malignant transformation and increase cell proliferation. Over the last decade, the importance of autophagy in response to standard pharmacological treatment of hematological tumors has been observed, revealing completely opposite roles depending on the tumor type and stage. Thus, autophagy can promote tumor survival by attenuating the cellular damage caused by drugs and/or stabilizing oncogenic proteins, but can also have an antitumoral effect due to autophagic cell death. Therefore, autophagy-based strategies must depend on the context to create specific and safe combination therapies that could contribute to improved clinical outcomes. In this review, we describe the process of autophagy and its role on hematopoiesis, and we highlight recent research investigating its role as a potential therapeutic target in hematological malignancies. The findings suggest that genetic variants within autophagy-related genes modulate the risk of developing hemopathies, as well as patient survival.