Autophagy is a life-sustaining process used by the cell to deliver cytoplasmic components to the lysosome for degradation and recycle. As a major intracellular degradation and circulation pathway, autophagy is essential for maintaining and remodeling cell homeostasis during normal development of cell and tissue. Mesenchymal stem cells (MSCs) are pluripotent progenitor cells with self-renewal capabilities which play an important role in the treatment of degenerative disease. Recent studies have demonstrated that autophagy is necessary for the maintenance of cellular stemness and for a number of differentiation processes, including the lineage determination of MSCs. Here, we review the current literature on the complex relation between autophagy induced by various extra- or intracellular stimuli and the molecular targets that affect MSCs proliferation and differentiation.