Our previous studies have shown that calcitonin gene-related peptide (CGRP) exerts protective effects on the acute lung injury induced by oxidative stress. This study was aimed to investigate whether autophagy was involved in the protection of CGRP against oxidative stress-induced lung injury in neonatal rats. Newborn Sprague-Dawley (SD) rats were randomly divided into five groups: Control group, oxidative stress model group (Model group), Model + CGRP group, Model + CGRP + Rapamycin (an autophagy agonist) group, and Model + CGRP + LY294002 (an autophagy inhibitor) group. The model of hyperoxia-induced lung injury was established by continuous inhalation of oxygen (FiO2 = 90%-95%) for 14 days in neonatal SD rats. Pathological changes of lung tissue were observed by hematoxylin and eosin (HE) staining, and mean linear intercept (MLI) was measured. The quantitative changes of autophagic vesicles (AV) in type II alveolar epithelial cells (AECII) were measured under the transmission electron microscope. The protein expressions of Caspase-3, Bcl-2, mTOR, and Beclin-1 in lung tissue lysates were detected by Western blot. The results showed that, compared to the Model group at the same time point, the number of AV in AECII and the expression level of Beclin-1 protein of the lung tissue were increased, while the expression level of mTOR protein was decreased, with alleviated pathological changes, reduced MLI value and Caspase-3 protein expression level, increased Bcl-2 protein expression level in the lung tissue of Model + CGRP group. In addition, we found that the protective effect of CGRP on hyperoxia-induced lung injury could be enhanced by autophagy activator Rapamycin and abolished by autophagy inhibitor LY294002. Together, these findings indicate that CGRP could attenuate hyperoxia-induced lung injury in neonatal rats by enhancing autophagy.