Cachexia is a syndrome that affects the entire organism and presents a variable plethora of symptoms in patients, always associated with continuous and involuntary degradation of skeletal muscle mass and function loss. In cancer, this syndrome occurs in 50% of all patients, while prevalence increases to 80% as the disease worsens, reducing quality of life, treatment tolerance, therapeutic response, and survival. Both chronic systemic inflammation and immunosuppression, paradoxically, correspond to important features in cachexia patients. Systemic inflammation in cachexia is fueled by the interaction between tumor and peripheral tissues with significant involvement of infiltrating immune cells, both in the peripheral tissues and in the tumor itself. Autophagy, as a process of regulating cellular metabolism and homeostasis, can interfere with the metabolic profile in the tumor microenvironment. Under a scenario of balanced autophagy in the tumor microenvironment, the infiltrating immune cells control cytokine production and secretion. On the other hand, when autophagy is unbalanced or dysfunctional within the tumor microenvironment, there is an impairment in the regulation of immune cell's inflammatory phenotype. The inflammatory phenotype upregulates metabolic consumption and cytokine production, not only in the tumor microenvironment but also in other tissues and organs of the host. We propose that cachexia-related chronic inflammation can be, at least, partly associated with the failure of autophagic processes in tumor cells. Autophagy endangers tumor cell viability by producing immunogenic tumor antigens, thus eliciting the immune response necessary to counteract tumor progression, while preventing the establishment of inflammation, a hallmark of cachexia. Comprehensive understanding of this complex functional dichotomy may enhance cancer treatment response and prevent/mitigate cancer cachexia. This review summarizes the recent available literature regarding the role of autophagy within the tumor microenvironment and the consequences eliciting the development of cancer cachexia.