Autophagy constitutes a well-known homeostatic and catabolic process that is responsible for degradation and recycling of cellular components. It is a key regulatory mechanism for several cellular functions, whereas its dysregulation is associated with tumorigenesis, tumor–stroma interactions and resistance to cancer therapy. A growing body of evidence has proven that autophagy affects the tumor microenvironment, while it is also considered a key factor for function of several immune cells, such as APCs, T-cells, and macrophages. Moreover, it is implicated in presentation of neo-antigens of tumor cells in both MHC-I and MHC-II in dendritic cells (DCs) in functional activity of immune cells by creating T-cell memory, as well as in cross-presentation of neo-antigens for MHC-I presentation and the internalization process. Currently, autophagy has a crucial role in immunotherapy. Emergence of cancer immunotherapy has already shown some remarkable results, having changed therapeutic strategy in clinical practice for several cancer types. Despite these promising long-term responses, several patients seem to lack the ability to respond to immune checkpoint inhibitors. Thus, autophagy through neo-antigen presentation is a potential target in order to strengthen or attenuate the effects of immunotherapy against different types of cancer. This review will shed light on the recent advances and future directions of autophagy-dependent neo-antigen presentation and consequently its role in immunotherapy for malignant tumors.