Thyroid cancer is one of the most common endocrine malignancies. Although the prognosis for the majority of thyroid cancers is relatively good, patients with metastatic, radioiodine-refractory or anaplastic thyroid cancers have an unfavorable outcome. With the gradual understanding of the oncogenic events in thyroid cancers, molecularly targeted therapy using tyrosine kinase inhibitors (TKIs) is greatly changing the therapeutic landscape of radioiodine-refractory differentiated thyroid cancers (RR-DTCs), but intrinsic and acquired drug resistance, as well as adverse effects, may limit their clinical efficacy and use. In this setting, development of synergistic treatment options is of clinical significance, which may enhance the therapeutic effect of current TKIs and further overcome the resultant drug resistance. Autophagy is a critical cellular process involved not only in protecting cells and organisms from stressors but also in the maintenance and development of various kinds of cancers. Substantial studies have explored the complex role of autophagy in thyroid cancers. Specifically, autophagy plays important roles in mediating the drug resistance of small-molecular therapeutics, in regulating the dedifferentiation process of thyroid cancers and also in affecting the treatment outcome of radioiodine therapy. Exploring how autophagy intertwines in the development and dedifferentiation process of thyroid cancers is essential, which will enable a more profound understanding of the physiopathology of thyroid cancers. More importantly, these advances may fuel future development of autophagy-targeted therapeutic strategies for patients with thyroid cancers. Herein, we summarize the most recent evidence uncovering the role of autophagy in thyroid cancers and highlight future research perspectives in this regard.