Autophagy is a stress-induced process that eliminates damaged organelles and dysfunctional cargos in cytoplasm, including unfolded proteins. Autophagy is involved in constructing the immunosuppressive microenvironment during tumor initiation and progression. It appears to be one of the most common processes involved in cancer immunotherapy, playing bidirectional roles in immunotherapy. Accumulating evidence suggests that inducing or inhibiting autophagy contributes to immunotherapy efficacy. Hence, exploring autophagy targets and their modifiers to control autophagy in the tumor microenvironment is an emerging strategy to facilitate cancer immunotherapy. This review summarizes recent studies on the role of autophagy in cancer immunotherapy, as well as the molecular targets of autophagy that could wake up the immune response in the tumor microenvironment, aiming to shed light on its immense potential as a therapeutic target to improve immunotherapy.