Multiple sclerosis (MS) is a complex auto-immune disorder of the central nervous system (CNS) that involves a range of CNS and immune cells. MS is characterized by chronic neuroinflammation, demyelination, and neuronal loss, but the molecular causes of this disease remain poorly understood. One cellular process that could provide insight into MS pathophysiology and also be a possible therapeutic avenue, is autophagy. Autophagy is an intracellular degradative pathway essential to maintain cellular homeostasis, particularly in neurons as defects in autophagy lead to neurodegeneration. One of the functions of autophagy is to maintain cellular homeostasis by eliminating defective or superfluous proteins, complexes, and organelles, preventing the accumulation of potentially cytotoxic damage. Importantly, there is also an intimate and intricate interplay between autophagy and multiple aspects of both innate and adaptive immunity. Thus, autophagy is implicated in two of the main hallmarks of MS, neurodegeneration, and inflammation, making it especially important to understand how this pathway contributes to MS manifestation and progression. This review summarizes the current knowledge about autophagy in MS, in particular how it contributes to our understanding of MS pathology and its potential as a novel therapeutic target.