Bladder cancer is a disease that negatively affects patients’ quality of life, but treatment options have remained unchanged for a long time. Although promising results have been achieved with current bladder cancer treatments, cancer recurrence, progression, and therapy resistance are the most severe problems preventing the efficiency of bladder cancer treatments. Autophagy refers to an evolutionarily conserved catabolic process in which proteins, damaged organelles, and cytoplasmic components are degraded by lysosomal enzymes. Autophagy regulates the therapeutic response to the chemotherapy drugs, thus determining the effect of therapy on cancer cells. Autophagy is a stress-induced cell survival mechanism and its excessive stimulation can cause resistance of tumor cells to therapeutic agents. Depending on the conditions, an increase in autophagy may cause treatment resistance or autophagic cell death, and it is related to important anti-cancer mechanisms, such as apoptosis. Therefore, understanding the roles of autophagy under different conditions is important for designing effective anti-cancer agents. The dual role of autophagy in cancer has attracted considerable attention in respect of bladder cancer treatment. In this review, we summarize the basic characteristics of autophagy, including its mechanisms, regulation, and functions, and we present examples from current studies concerning the dual role of autophagy in bladder cancer progression and therapy.