The advancement of novel drug delivery systems (DDSs) represents a great tool to improve the outcome of cancer patients. DDSs, such as polymeric and dendrimeric conjugates, nanoparticles (NPs), microparticles, liposomes, extracellular vesicles (EVs), and many others, have been established to overcome the current anticancer treatment limitations due to peculiarities such as the ability to assure anticancer molecules from untimely elimination and manage intratumoral accumulation. For each mentioned category of DDSs, we provide a summary of the main advantages and challenges, linked to autophagy pathway modulation, due to both the main drugs delivered and, particularly, to the intrinsic characteristic of the delivering systems. The different and contradictory roles of autophagy in cancer cells will also be discussed. The basic conundrum concerning autophagy as an anticancer mechanism is that this pathway can act both to inhibit tumorigenesis and to promote the survival of existing tumors. Indeed, the autophagic pathway converges with the endolysosomal one: the endocytic and autophagic pathways are strictly connected when autophagosomes fuse with late endosomes/multivesicular bodies (MVBs), forming an amphisome. Targeting endolysosomal compartments could be considered a new therapeutic strategy to fight cancer and overcome minimal residual disease: these processes can be triggered by drugs directly, or by a combination of different drugs and the specific DDS employed.