Eukaryotic cells can degrade their own components, cytosolic proteins and organelles, using dedicated hydrolases contained within the acidic interior of their lysosomes. This degradative process, called autophagy, is used under starvation conditions to recycle redundant or less important macromolecules, facilitates metabolic re-modeling in response to environmental cues, and is also often important during cell differentiation. In this review, we discuss the role played by autophagy during the life cycles of the major parasitic protists. To provide context, we also provide an overview of the different forms of autophagy and the successive steps in the autophagic processes, including the proteins involved, as revealed in recent decades by studies using the model organism Saccharomyces cerevisiae, methylotrophic yeasts and mammalian cells. We describe for trypanosomatid parasites how autophagy plays a role in the differentiation from one life cycle stage to the next one and, in the case of the intracellular parasites, for virulence. For malarial parasites, although only a limited repertoire of canonical autophagy-related proteins can be detected, autophagy seems to play a role in the removal of redundant organelles important for cell invasion, when sporozoites develop into intracellular trophozoites inside the hepatocytes. The complete absence of a canonical autophagy pathway from the microaerophile Giardia lamblia is also discussed. Finally, the essential role of autophagy for differentiation and pathogenicity of some pathogenic protists suggests that the proteins involved in this process may represent new targets for drug development. Opportunities and strategies for drug design targeting autophagy proteins are discussed.