(1) Background: Myelodysplastic neoplasms (MDSs) consist of a group of blood malignancies with a complex biological background. In this context, we investigated the role of autophagy and apoptosis in the pathogenesis and progression of MDSs. (2) Methods: To address this issue, we performed a systematic expression analysis on a total of 84 genes in patients with different types of MDSs (low/high risk of malignancy) versus healthy individuals. Furthermore, real-time quantitative PCR (qRT-PCR) was used to validate significantly upregulated or downregulated genes in a separate cohort of MDS patients and healthy controls. (3) Results: MDS patients were characterized by lower expression levels for a large series of genes involved in both processes compared to healthy individuals. Of importance, deregulation was more pronounced in patients with higher-risk MDS. Results from the qRT-PCR experiments displayed a high level of concordance with the PCR array, strengthening the relevance of our findings. (4) Conclusions: Our results indicate a clear effect of autophagy and apoptosis on MDS development, which becomes more pronounced as the disease progresses. The results from the present study are expected to assist in our understanding of the biological background of MDSs as well as in the identification of novel therapeutic targets.