Autophagy is a catabolic process in which intracellular components are degraded in lysosomes. Stresses such as nutrient deficiency, hypoxia, and chemotherapy can trigger autophagy, making autophagy relevant to cancer treatment. Autophagy appears to play complex dual roles in cancer immune escape. For example, autophagic degradation of the immune checkpoint protein PD-L1 generally enhances T cell activation and suppresses tumor growth, but cancer cells can encapsulate PD-L1 and another checkpoint protein, CD47, in endosomes to prevent their degradation. In addition, MHC-I/II autophagy enables cancer cell immune escape and inhibits antigen presentation and T cell activation. However, autophagic mitochondrial degradation, termed mitophagy, can improve the antitumor immune response. Therefore, autophagy can positively or negatively affect cancer immune escape, which may depend on the experimental context, and autophagy may synergize with immune cells to regulate cancer immune surveillance. Additional studies are needed to clarify the direct effect of autophagy on cancer immune escape in the complex tumor microenvironment, as the findings may enable rational targeting of autophagy in combination with immunotherapy to improve cancer treatment efficacy.