Autophagy is a physiological process in which cellular components are degraded by the lysosomal machinery. Thereby, organelles are recycled and monomers are produced in order to maintain energy production. Current studies indicate autophagy might suppress or augment survival of cancer cells. Therefore, by elucidating the role of autophagy in cancer pathogenesis, novel therapeutic intervention points may be revealed. Leukemia therapy has advanced in recent years; but a definitive cure is still lacking. Since autophagy often is deregulated in this particular type of cancer, it is clear that future findings will have clinical implications. This review will discuss the current knowledge of autophagy in blood cancers.