Autophagy is a regulated mechanism that removes unnecessary or dysfunctional cellular components and recycles metabolic substrates. In response to stress signals in the tumour microenvironment, the autophagy pathway is altered in tumour cells and immune cells — thereby differentially affecting tumour progression, immunity and therapy. In this Review, we summarize our current understanding of the immunologically associated roles and modes of action of the autophagy pathway in cancer progression and therapy, and discuss potential approaches targeting autophagy to enhance antitumour immunity and improve the efficacy of current cancer therapy.