Autophagy is a degradative pathway that plays an essential role in maintaining cellular homeostasis. Most early studies of autophagy focused on its involvement in age-associated degeneration and nutrient deprivation. However, the immunological functions of autophagy have become more widely studied in recent years. Autophagy has been shown to be an intrinsic cellular defense mechanism in the innate and adaptive immune responses. Cytokines belong to a broad and loose category of proteins and are crucial for innate and adaptive immunity. Inhibitory cytokines have evolved to permit tolerance to self while also contributing to the eradication of invading pathogens. Interactions between inhibitory cytokines and autophagy have recently been reported, revealing a novel mechanism by which autophagy controls the immune response. In this review, we discuss interactions between autophagy and the regulatory cytokines IL-10, transforming growth factor-β, and IL-27. We also mention possible interactions between two newly discovered cytokines, IL-35 and IL-37, and autophagy.