Glucocorticoids are fundamental drugs used in the treatment of lymphoid malignancies with apoptotic cell death as the hitherto proposed mechanism of action. We have recently shown that dexamethasone induces autophagy in lymphoid leukemia cells and in this particular setting this cell death modality is a prerequisite for the efficient killing of the leukemic cells by dexamethasone. Hence, inhibition of autophagy by siRNA-mediated silencing of Beclin 1, as well as chemical inhibition of type III PtdIns3K, inhibits apoptosis, demonstrating an important role of autophagy in dexamethasone-induced cell death. In this brief report, we review these findings and introduce the multiple myeloma cells as a novel system to study autophagy in response to dexamethasone.