Autophagy is a highly conserved cellular process responsible for recycling of intracellular material. It is induced by different stress signals, including starvation, cytokines, and pathogens. Type I interferons (IFN) are proteins with pleiotropic functions, such as antiviral, antiproliferative, and immunomodulatory activities. Several recent studies showed type I IFN-induced autophagy in multiple cancer cell lines as evidenced by autophagic markers, for example, the conversion of microtubule-associated protein 1 light chain 3 beta (MAP1LC3B, also known as LC3-I) to LC3-II and the formation of autophagosomes by electron microscopy. In addition, studies suggest the involvement of Janus kinase (JAK)/signal transducer and activator of transcription (STAT) and phosphatidylinositol-4,5-bisphosphate 3-kinase (PI3K)/v-akt murine thymoma viral oncogene homolog (AKT) and mechanistic target of rapamycin, serine/threonine kinase (mTOR) pathways in the induction of autophagy. This review highlights a new function of type I IFN as an inducer of autophagy. This new function of type I IFN may play an important role in viral clearance, antigen presentation, inhibition of proliferation, as well as a positive feedback loop for the production of type I IFN.