CD8+ T cells represent a powerful arm of the adaptive immunity that is particularly effective against intracellular pathogens. These cells might also participate in the generation and sustenance of autoimmune responses. The escape of a certain number of CD8+ autoreactive T lymphocytes from thymic negative selection occurs normally in all individuals, but this event is rarely associated with the onset of autoimmune diseases. Several peripheral mechanisms have been evolved by the immune system to take control of these potentially harmful self-aggressive cytotoxic CD8+ T cells. In the present review, we will discuss the principal strategies by which the immune system is capable of maintaining CD8+ T cell tolerance to self, thus making them ineffective to harm their own host but still capable to defend the host against foreign invaders.