The tumor microenvironment is composed of cancer cells, noncancer cells (e.g., immune cells, stromal cells, endothelial cells, and adipocytes), and various mediators (e.g., cytokines, chemokines, growth factors, and humoral factors) that work together to support cancer growth, progression, and resistance to therapies. Autophagy is an evolutionarily conserved degradation mechanism by which various cytosolic cargos (e.g., damaged organelles, unused molecules, or invaded pathogens) are engulfed by double-membrane autophagosomes, and then delivered into the lysosome for degradation and recycling. The level of autophagy is a crucial threshold to either promote cell survival or induce cell death in response to environmental stresses. Autophagy plays a context-dependent role in tumorigenesis and anticancer therapy via shaping the inflammatory, hypoxic, immunosuppressive, and metabolic tumor microenvironment. In particular, impaired autophagy flux is associated with chronic inflammation, immunosuppression, stromal formation, cancer stemness, angiogenesis, metastasis, and metabolic reprogramming in the tumor microenvironment. Understanding the molecular machinery of autophagy and its communication with hallmarks of cancer could lead to potential new anticancer strategies or drugs.