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There are several pathologies, syndromes, and physiological processes in which autophagy is involved. This process of self-digestion that cells trigger as a survival mechanism is complex and tightly regulated, according to the homeostatic conditions of the organ. However, in all cases, its relationship with oxidative stress alterations is evident, following a pathway that suggests endoplasmic reticulum stress and/or mitochondrial changes. There is accumulating evidence of the beneficial role that melatonin has in the regulation and restoration of damaged autophagic processes. In this review, we focus on major physiological changes such as aging and essential pathologies including cancer, neurodegenerative diseases, viral infections and obesity, and document the essential role of melatonin in the regulation of autophagy in each of these different situations.