Autophagy is an important cellular program with a "double face" role, since it promotes either cell survival or cell death, also in cancer therapies. Its survival role occurs by recycling cell components during starvation or removing stressed organelles; when damage becomes extensive, autophagy provides another programmed cell death pathway, known as Autophagic Cell Death (ACD). The induction of autophagy is a common outcome in PhotoDynamic Therapy (PDT), a two-step process involving the irradiation of photosensitizer (PS)-loaded cancer cells. Upon tissue oxygen interaction, PS provokes immediate and direct Reactive Oxygen Species (ROS)-induced damage to Endoplasmic Reticulum (ER), mitochondria, plasma membrane, and/or lysosomes. The main biological effects carried out in cancer PDT are direct cytotoxicity to tumor cells, vasculature damage and induction of inflammatory reactions stimulating immunological responses. The question about the role of autophagy in PDT and its putative immunological impact is hotly controversial and largely studied in recent times. This review deals with the induction of autophagy in PDT protocols and its dual role, also considering its interrelationship with apoptosis, the preferential cell death program triggered in the photodynamic process.