Autophagy is an evolutionarily conserved and tightly regulated process that plays an important role in maintaining cellular homeostasis. It involves regulation of various genes that function to degrade unnecessary or dysfunctional cellular components, and to recycle metabolic substrates. Autophagy is modulated by many factors, such as nutritional status, energy level, hypoxic conditions, endoplasmic reticulum stress, hormonal stimulation and drugs, and these factors can regulate autophagy both upstream and downstream of the pathway. In cancer, autophagy acts as a double-edged sword depending on the tissue type and stage of tumorigenesis. On the one hand, autophagy promotes tumor progression in advanced stages by stimulating tumor growth. On the other hand, autophagy inhibits tumor development in the early stages by enhancing its tumor suppressor activity. Moreover, autophagy drives resistance to anticancer therapy, even though in some tumor types, its activation induces lethal effects on cancer cells. In this review, we summarize the biological mechanisms of autophagy and its dual role in cancer. In addition, we report the current understanding of autophagy in some cancer types with markedly high incidence and/or lethality, and the existing therapeutic strategies targeting autophagy for the treatment of cancer.