Autophagy is a quality control process executed at the basal level in almost all cell types. However, in cancer cells, autophagy is activated by several stimuli, including hypoxia. Depending on tumor type, stage, and genetic context, autophagy is a double-edged sword. Autophagy promotes regression in newly established tumors; however, it supports tumor progression in well-established tumors by maintaining cancer cell survival under stress conditions. These data, in addition to the emerging role of autophagy in impairing antitumor immunity, have attracted significant interest in developing autophagy inhibitors as a new approach to cancer treatment. The enthusiasm for developing selective drugs inhibiting autophagy has been seriously challenged by the discovery that most autophagy-related proteins display nonautophagic functions. Autophagy inhibitors chloroquine and hydroxychloroquine are currently being investigated in several clinical trials in combination with standard anticancer therapies. Here, we provide a brief overview on the nonautophagic function of autophagy-related proteins and summarize the major mechanisms whereby autophagy modulation could positively or negatively impact cancer therapies. We also focus on the emerging role of targeting autophagy in the improvement of NK-mediated antitumor immunity through the regulation of CCL5 and its receptors' expression in melanoma, and we provide some clues revealing how autophagy modulators could be exploited to improve cancer immunotherapies.