Autophagy is an evolutionarily conserved catabolic process whereby the cytoplasmic contents of a cell are sequestered within autophagosomes through a lysosome-dependent pathway. Increasing evidence shows that this process is of great importance in a wide range of diseases, including atherosclerosis (AS). Autophagy can be modulated in advanced AS plaques by cytokines, reactive lipids, lipopolysaccharides, advanced glycation end products, and microRNAs. Autophagy exerts both protective and detrimental functions in vascular disorders. However, despite an increasing interest in autophagy, it remains an underestimated and overlooked phenomenon in AS. Therefore, the precise role of autophagy and its relationship with apoptosis need to be described. This review highlights recent findings on the autophagy activities and signaling pathways in endothelial cells, macrophages, and smooth muscle cells that are accompanied by apoptosis in AS. We conclude with recent studies on autophagy modulation as a new therapeutic approach to treat AS.