Autophagy is the major catabolic process in eukaryotic cells for the degradation and recycling of damaged macromolecules and organelles. It plays a crucial role in cell quality control and nutrient supply under stress conditions. Although autophagy is classically described as a degradative mechanism, it can also be involved in some secretion pathways, leading to the extracellular release of proteins, aggregates, or organelles. The role of autophagy in cancer is complex and depends on tumor development stage. While autophagy limits cancer development in the early stages of tumorigenesis, it can also have a protumoral role in more advanced cancers, promoting primary tumor growth and metastatic spread. In addition to its pro-survival role in established tumors, autophagy recently emerged as an active player in the crosstalk between tumor and stromal cells. The aim of this review is to analyze the impact of tumoral autophagy on the microenvironment and conversely the effect of stromal cell autophagy on tumor cells.