Gene-directed enzyme prodrug gene therapy (GDEPT) theoretically represents a useful method to carry out chemotherapy for cancer with minimal side effects through the formation of a chemotherapeutic agent inside cancer cells. However, despite great efforts, promising preliminary results, and a long period of time (over 25 years) since the first mention of this method, GDEPT has not yet reached the clinic. There is a growing consensus that optimal cancer therapies should generate robust tumor-specific immune responses. The advent of checkpoint immunotherapy has yielded new highly promising avenues of study in cancer therapy. For such therapy, it seems reasonable to use combinations of different immunomodulators alongside traditional methods, such as chemotherapy and radiotherapy, as well as GDEPT. In this review, we focused on non-viral gene immunotherapy systems combining the intratumoral production of toxins diffused by GDEPT and immunomodulatory molecules. Special attention was paid to the applications and mechanisms of action of the granulocyte-macrophage colony-stimulating factor (GM–CSF), a cytokine that is widely used but shows contradictory effects. Another method to enhance the formation of stable immune responses in a tumor, the use of danger signals, is also discussed. The process of dying from GDEPT cancer cells initiates danger signaling by releasing damage-associated molecular patterns (DAMPs) that exert immature dendritic cells by increasing antigen uptake, maturation, and antigen presentation to cytotoxic T-lymphocytes. We hypothesized that the combined action of this danger signal and GM–CSF issued from the same dying cancer cell within a limited space would focus on a limited pool of immature dendritic cells, thus acting synergistically and enhancing their maturation and cytotoxic T-lymphocyte attraction potential. We also discuss the problem of enhancing the cancer specificity of the combined GDEPT–GM–CSF–danger signal system by means of artificial cancer specific promoters or a modified delivery system.