Autophagy is an evolutionarily conserved, multi-step lysosomal degradation process for the clearance of damaged or superfluous proteins and organelles. Accumulating studies have recently revealed that autophagy is closely related to a variety of types of cancer; however, elucidation of its Janus role of either tumor-suppressive or tumor-promoting still remains to be discovered. In this review, we focus on summarizing the context-dependent role of autophagy and its complicated molecular mechanisms in different types of cancer. Moreover, we discuss a series of small-molecule compounds targeting autophagy-related proteins or the autophagic process for potential cancer therapy. Taken together, these findings would shed new light on exploiting the intricate mechanisms of autophagy and relevant small-molecule compounds as potential anti-cancer drugs to improve targeted cancer therapy.