Autophagy, or 'self-eating', is an adaptive process that enables cells to cope with metabolic, toxic, and even infectious stressors. Although the adaptive capability of autophagy is generally considered beneficial, autophagy can also enhance nutrient utilization and improve growth characteristics of cancer cells. Moreover, autophagy can promote greater cellular robustness in the context of therapeutic intervention. In advanced prostate cancer, preclinical data provide evidence that autophagy facilitates both disease progression and therapeutic resistance. Notably, androgen deprivation therapy, taxane-based chemotherapy, targeted kinase inhibition, and nutrient restriction all induce significant cellular distress and, subsequently, autophagy. Understanding the context-dependent role of autophagy in cancer development and treatment resistance has the potential to improve current treatment of advanced prostate cancer. Indeed, preclinical studies have shown that the pharmacological inhibition of autophagy (with agents including chloroquine, hydroxychloroquine, metformin, and desmethylclomipramine) can enhance the cell-killing effect of cancer therapeutics, and a number of these agents are currently under investigation in clinical trials. However, many of these autophagy modulators are relatively nonspecific, and cytotoxicity in noncancerous tissues is still a concern. Moving forward, refinement of autophagy modulation is needed.