Autophagy is a self-eating process of using lysosomes to degrade macromolecular substances (e.g., proteins and organelles) that are damaged, degenerated, or aging. Lipid metabolism is the synthesis and degradation of lipids (e.g., triglycerides, steroids, and phospholipids) to generate energy or produce the structural components of cell membranes. There is a complex interplay between lipid metabolism (e.g., digestion, absorption, catabolism, biosynthesis, and peroxidation) and autophagy machinery, leading to the modulation of cell homeostasis, including cell survival and death. In particular, lipid metabolism is involved in the formation of autophagic membrane structures (e.g., phagophores and autophagosomes) during stress. Moreover, autophagy, especially selective autophagy (e.g., lipophagy, ferritinophagy, clockophagy, and mitophagy), promotes lipid catabolism or lipid peroxidation-induced ferroptosis through the degradation of various substances within the cell. A better understanding of the mechanisms of autophagy and possible links to lipid metabolism will undoubtedly promote potential treatments for a variety of diseases.