Organisms respond to oxidative injury by orchestrating a stress response to prevent further damage. An increase in the intracellular levels of antioxidant agents, and at the same time the removal of already damaged components, are both part of the oxidative stress response. Lysosomes have been classically considered one of the main targets of the reactive oxygen species. In fact, the destabilization of the lysosomal membrane during oxidizing conditions promotes the leakage of the enzymes contained in these organelles and contributes to cellular damage. However, recent evidence supports a protective role of the lysosomal system, which can eliminate altered intracellular components through autophagy, at least in the first stages of oxidative injury. Consequently, activation of the main intracellular proteolytic systems, the ubiquitin/proteasome, and also the lysosomal/autophagic system occurs during the oxidative stress response. The opposing roles for the lysosomal system under oxidizing conditions are discussed in this review.