Autophagy is a catabolic process strongly involved in the immune response, and its dysregulation contributes to the onset of several diseases including cancer. The human oncogenic gammaherpesviruses, Epstein—Barr virus (EBV) and Kaposi’s sarcoma-associated herpesvirus (KSHV), manipulate autophagy, either during the de novo infection or during the lytic reactivation, in naturally latently-infected lymphoma cells. In particular, the gammaherpesvirus infection reduces autophagy in immune cells, such as monocytes, resulting in the impairment of cell survival and cell differentiation into dendritic cells (DCs), which are essential for initiating and regulating the immune response. In the case of EBV, the reduction of autophagy in these cells, leading to p62 accumulation, activated the p62-NRF2-antioxidant response, reducing ROS, and further inhibiting autophagy. KSHV inhibits autophagy in monocytes by de-phosphorylating JNK2, altering the calpains–calpastatin balance and increasing the calpain activity responsible for the cleavage of ATG5. To further impair the immune response, KSHV also inhibits autophagy in differentiated DCs by hyper-phosphorylating STAT3. Conversely, when the lytic cycle is induced in vitro in latently-infected lymphoma B cells, both EBV and KSHV promote autophagy to enhance their replication, although the final autophagic steps are blocked through the down-regulation of Rab7. This strategy allows viruses to avoid the destructive environment of lysosomes, and to exploit the autophagic machinery for intracellular transportation. EBV and KSHV encode for proteins that may either inhibit or promote autophagy and, in addition, they can modulate the cellular pathways that control this process. In this review we will discuss the findings that indicate that autophagy is dysregulated by gammaherpesvirus to promote immune suppression, facilitate viral replication and contribute to the onset and maintenance of gammaherpesvirus-associated malignancies.