Autophagy is a self-cannibalism process essential for tissue homeostasis, which can be activated following different environmental stressful conditions. In normal cells, autophagy could act as a brake to prevent tumorigenesis, but cancer cells are able to hijack this process to their own benefit, to promote tumor growth and/or tumor resistance to anti-cancer therapies. Scientists and clinicians attempt to modulate this process to improve therapies, using autophagy inhibitors or activators, some of them being tested currently in clinical trials against several types of tumors. Thus, it appears that autophagy is at the center of a showdown between cancer cells and anti-cancer therapies. In this review, we focus on the mechanisms by which autophagy could be either the yin or the yang of cancers.