Autophagy and proteasomal degradation constitute the two main catabolic pathways in cells. While the proteasome degrades primarily short-lived soluble proteins, macroautophagy, the main constitutive autophagic pathway, delivers cell organelles and protein aggregates for lysosomal degradation. Both the proteasome and macroautophagy are attractive effector mechanisms for the immune system because they can be used to degrade foreign substances, including pathogenic proteins, within cells. Therefore, both innate and adaptive immune responses use these pathways for intracellular clearance of pathogens as well as for presentation of pathogen fragments to the adaptive immune system. Because, however, the same mechanisms are used for the steady-state turnover of cellular self-components, the immune system has to be desensitized not to recognize these. Therefore, proteasomal degradation and macroautophagy are also involved in tolerizing the immune system prior to pathogen encounter. We will discuss recent advances in our understanding how macroautophagy selects self-structures in the steady state, how presentation of these on major histocompatibility complex class II molecules leads to tolerance and how macroautophagy assists both innate and adaptive immunity. This new knowledge on the specialized functions of the metabolic process macroautophagy in higher eukaryotes should allow us to target it for therapy development against immunopathologies and to improve vaccinations.