Phagocytic entry of mycobacteria into macrophages requires the presence of cholesterol in the plasma membrane. This suggests that pathogenic mycobacteria may require cholesterol for their subsequent intra‐cellular survival in non‐maturing phagosomes. Here we report on the effect of cholesterol depletion on pre‐existing phagosomes in mouse bone marrow‐derived macrophages infected with Mycobacterium avium. Cholesterol depletion with methyl‐β‐cyclodextrin resulted in a loosening of the close apposition between the phagosome membrane and the mycobacterial surface, followed by fusion with lysosomes. The resulting phagolysosomes then autonomously executed autophagy, which did not involve the endoplasmic reticulum. After 5 h of depletion, intact mycobacteria had accumulated in large auto‐phagolysosomes. Autophagy was specific for phagolysosomes that contained mycobacteria, as it did not involve latex bead‐containing phagosomes in infected cells. Upon replenishment of cholesterol, mycobacteria became increasingly aligned to the lysosomal membrane, from where they were individually sequestered in phagosomes with an all‐around closely apposed phagosome membrane and which no longer fused with lysosomes. These observations indicate that, cholesterol depletion (i) resulted in phagosome maturation and fusion with lysosomes and (ii) caused mycobacterium‐containing phagolysosomes to autonomously undergo autophagy. Furthermore, (iii) mycobacteria were not killed in auto‐phagolysosomes, and (iv) cholesterol replenishment enabled mycobacterium to rescue itself from autophagic phagolysosomes to again reside individually in phagosomes which no longer fused with lysosomes.