As a cellular bulk degradation and survival mechanism, autophagy is implicated in diverse biological processes. Genome-wide association studies have revealed the link between autophagy gene polymorphisms and susceptibility of autoimmune diseases including systemic lupus erythematosus (SLE) and inflammatory bowel disease (IBD), indicating that autophagy dysregulation may be involved in the development of autoimmune diseases. A series of autophagy modulators have displayed protective effects on autoimmune disease models, highlighting the emerging role of autophagy modulators in treating autoimmune diseases. This review explores the roles of autophagy in the autoimmune diseases, with emphasis on four major autoimmune diseases [SLE, rheumatoid arthritis (RA), IBD, and experimental autoimmune encephalomyelitis (EAE)]. More importantly, the therapeutic potentials of small molecular autophagy modulators (including autophagy inducers and inhibitors) on autoimmune diseases are comprehensively analyzed.