Autophagy is a lysosome-mediated catabolic process that allows cells to degrade unwanted cytoplasmic constituents and to recycle nutrients. Autophagy is also involved in innate and adaptive immune responses, playing a key role in interactions against microbes, in antigen processing for major histocompatibility complex (MHC) presentation, and in lymphocyte development, survival, and proliferation. Over recent years, perturbations in autophagy have been implicated in a number of diseases, including autoimmunity. Systemic lupus erythematosus (SLE) is a multifactorial disease characterized by autoimmune responses against self-antigens generated by dying cells. Genome-wide association studies have linked several single-nucleotide polymorphisms (SNPs) in the autophagy-related gene Atg5 to SLE susceptibility. Loss of Atg5-dependent effects, including clearance of dying cells and cell antigen presentation, might contribute to the autoimmunity and inflammation associated with SLE. Moreover, activation of the mammalian target of rapamycin (mTOR), a key player in the autophagy regulation, has recently been demonstrated in SLE, confirming an altered autophagy pathway in this disease. In the present review, we summarize the autophagy mechanisms, their molecular regulation, and their relevance in immunity and autoimmunity. The potential of targeting autophagy pathway in SLE, by developing innovative therapeutic approaches, has finally been discussed.