The merits of exercise on muscle health and well-being are numerous and well documented. However, the mechanisms underlying the robust adaptations induced by exercise, particularly on mitochondria, are less clear and much sought after. Recently, an evolutionary conserved cellular recycling mechanism known as autophagy has been implicated in the adaptations to acute and chronic exercise. A basal level of autophagy is constantly ongoing in cells and tissues, ensuring cellular clearance and energy homeostasis. This pathway can be further induced, as a survival mechanism, by cellular perturbations, such as energetic imbalance and oxidative stress. During exercise, a biphasic autophagy response is mobilized, leading to both an acute induction and a long-term potentiation of the process. Posttranslational modifications arising from upstream signaling cascades induce an acute autophagic response during a single bout of exercise by mobilizing core autophagy machinery. A transcriptional program involving the regulators Forkhead box O, transcription factor EB, p53, and peroxisome proliferator coactivator-1α is also induced to fuel sustained increases in autophagic capacity. Autophagy has also been documented to mediate chronic exercise-induced metabolic benefits, and animal models in which autophagy is perturbed do not adapt to exercise to the same extent. In this review, we discuss recent developments in the field of autophagy and exercise. We specifically highlight the molecular mechanisms activated during acute exercise that lead to a prolonged adaptive response.