Mesenchymal stem cells (MSCs) have been widely exploited as promising candidates in clinical settings for bone repair and regeneration in view of their self-renewal capacity and multipotentiality. However, little is known about the mechanisms underlying their fate determination, which would illustrate their effectiveness in regenerative medicine. Recent evidence has shed light on a fundamental biological role of autophagy in the maintenance of the regenerative capability of MSCs and bone homeostasis. Autophagy has been implicated in provoking an immediately available cytoprotective mechanism in MSCs against stress, while dysfunction of autophagy impairs the function of MSCs, leading to imbalances of bone remodeling and a wide range of aging and degenerative bone diseases. This review aims to summarize the up-to-date knowledge about the effects of autophagy on MSC fate determination and its role as a stress adaptation response. Meanwhile, we highlight autophagy as a dynamic process and a double-edged sword to account for some discrepancies in the current research. We also discuss the contribution of autophagy to the regulation of bone cells and bone remodeling and emphasize its potential involvement in bone disease.