Multiple myeloma (MM) is a plasma cell cancer characterized by sustained endoplasmic reticulum (ER) stress and unfolded protein response activation in the setting of high rates of immunoglobulin synthesis. Consequently, MM cells rely heavily on protein quality control pathways for survival as evidenced by the clinical efficacy of proteasome inhibitors (PI). Autophagy is an intracellular self-digestion mechanism that plays a role in the ER protein quality control process. Unsurprisingly then, basal levels of autophagy were recently found to confer a survival and drug-resistance benefit to MM cells. However, excessive induction of autophagy in MM cells leads to autophagic cell death, highlighting the double-edged nature of autophagy modulation in MM. This review provides an overview of the role that autophagy plays in MM pathogenesis, survival, and drug-resistance. We highlight the potential utility of therapeutically targeting autophagy in MM, focusing on preclinical data of autophagic modulators in combination with alkylators, anthracyclines, PI, and immunomodulatory drugs.