Autophagy is a cellular process involved in the degradation and turn-over of long-lived proteins and organelles, which can be subjected to suppression or further induction in response to different stimuli. According to its essential role in cellular homeostasis, autophagy has been implicated in several pathologies including cancer, neurodegeneration and myopathies. More recently, autophagy has been described as a mechanism of both innate and adaptive immunity against intracellular bacteria and viruses. In this context, autophagy has been proposed as a protective mechanism against viral infection by degrading the pathogens into autolysosomes. This is strengthened by the fact that several proteins involved in interferon (IFN) signalling pathways are linked to autophagy regulation. However, several viruses have evolved strategies to divert IFN-mediated pathways and autophagy to their own benefit. This review provides an overview of the autophagic process and its involvement in the infection by different viral pathogens and of the connections existing between autophagy and proteins involved in IFN signalling pathways.