A consensus is now growing on the fact that autophagy can behave as an antiviral mechanism against incoming pathogens. Therefore, some pathogens have evolved to counteract or benefit from the cellular autophagy machinery. The Human Immunodeficiency Virus (HIV), like many viruses, manipulates autophagy to favor its replication. In particular, HIV-1 envelope (Env) plays an important role in modulating autophagy in CD4⁺ T cells and phagocytic cells. Env-mediated autophagy is a cell-type dependent mechanism activated in bystander CD4⁺ T cells but totally inhibited during their productive infection. In both infected myeloid dendritic cells and macrophages, the autophagy flux is progressively shut-down. The modulation of autophagy by HIV in these cell types could be responsible for the onset of HIV-mediated immunopathogenesis and contribute to viral spread. The former effect is responsible for apoptosis of bystander CD4⁺ T cells and the latter correlates with a viral escape strategy favoring viral replication and transmission by counteracting autophagy-mediated antiviral immunity. Furthermore, HIV-1 can infect different cell types of the central nervous system such as the microglia and, in a restrictive manner, the astrocytes and the neural precursors for which infection has also been correlated with modulation of autophagy. The aim of this review is to provide an overview on the intricate and conflicting relationships that intimately link HIV-1 and autophagy in these different cell types.