Autophagy is a highly conserved protein degradation pathway from yeasts to humans that is essential for removing protein aggregates and misfolded proteins in healthy cells. Recently, autophagy-related genes polymorphisms have been implicated in several autoimmune diseases including systemic lupus erythematosus, rheumatoid arthritis, psoriasis, and multiple sclerosis. Numerous studies reveal autophagy and autophagy-related proteins also participate in immune regulation. Conditional deletions of autophagy-related proteins in mice have rendered protection from experimental autoimmune encephalomyelitis, and TNF-mediated joint destruction in animal models of multiple sclerosis and experimental arthritis respectively. As autophagy is strongly implicated in immune functions such as removal of intracellular bacteria, inflammatory cytokine secretion, antigen presentation, and lymphocyte development, in this review we summarized current understanding of the roles of autophagy and autophagy proteins in autoimmune diseases.