Autophagy is a highly conserved catabolic mechanism that mediates the degradation of damaged cellular components by inducing their fusion with lysosomes. This process provides cells with an alternative source of energy for the synthesis of new proteins and the maintenance of metabolic homeostasis in stressful environments. Autophagy protects against cancer by mediating both innate and adaptive immune responses. Innate immune receptors and lymphocytes (T and B) are modulated by autophagy, which represent innate and adaptive immune responses, respectively. Numerous studies have demonstrated beneficial roles for autophagy induction as well as its suppression of cancer cells. Autophagy may induce either survival or death depending on the cell/tissue type. Radiation therapy is commonly used to treat cancer by inducing autophagy in human cancer cell lines. Additionally, melatonin appears to affect cancer cell death by regulating programmed cell death. In this review, we summarize the current understanding of autophagy and its regulation in cancer.