Autophagy constitutes a mechanism for the sequestration and lysosomal degradation of various cytoplasmic structures, including damaged organelles and invading microorganisms. Autophagy not only represents an essential cell-intrinsic mechanism to protect against internal and external stress conditions but also shapes cellular immunity. Recent evidence indicates that autophagic responses in antigen-donor cells affect the release of several cytokines and "danger signals." Thus, especially when it precedes cell death, autophagy alerts innate immune effectors to elicit cognate immune responses. Autophagy is also important for the differentiation, survival, and activation of myeloid and lymphoid cells. Accordingly, inherited mutations in autophagy-relevant genes are associated with immune diseases, whereas oncogenesis-associated autophagic defects promote the escape of developing tumors from immunosurveillance. Here, we discuss the regulation of autophagy in the course of cellular immune responses and emphasize its impact on the immunogenicity of antigen-donor cells and on the activity of antigen-presenting cells and T lymphocytes.