Autophagy is an evolutionarily conserved biological process that functions to recycle protein aggregate and malfunctioned organelles. The activation of autophagy can be stimulated by a number of ways including infection, caloric restriction, and physical exercise. In addition to cellular metabolism and cell survival/death machinery, autophagy plays an important role in the maintenance of cellular homeostasis in skeletal muscle especially during physical exercise in which energy demand can be extremely high. By degrading macromolecules and subcellular organelles through the fusion of autophagosomes and lysosomes, useful materials such as amino acids can be released and re-used to sustain normal metabolism in cells. Autophagy is suggested to be involved in glucose and lipid metabolism and is proposed to be a critical physiological process in the regulation of intracellular metabolism. The effects of physical exercise on autophagy have been investigated. Although physical exercise has been demonstrated to be an autophagic inducer, cellular autophagic responses to exercise in skeletal muscle appear to be varied in different exercise protocols and disease models. It is also not known whether the exercise-induced beneficial health consequences involve the favorable modulation of cellular autophagy. Furthermore, the cellular mechanisms of exercise-induced autophagy still remain largely unclear. In this review article, we discuss the general principle of autophagy, cellular signaling of autophagy, autophagic responses to acute and chronic aerobic exercise, and the potential cross-talks among autophagy, mitochondrial biogenesis, and ubiquitination. This article aims to stimulate further studies in exercise and autophagy.