Cancer immunotherapies enhance anti-tumor immune responses using checkpoint inhibitors, such as PD-1 or PD-L1 inhibitors. Recent studies, however, have extended the scope of immunotherapeutics by unveiling DNA damage-induced innate immunity as a novel target for cancer treatment. Elucidating the interplay among the DNA damage response (DDR), cyclic GMP-AMP synthase-stimulator of interferon genes (cGAS-STING) pathway activation, and anti-tumoral immunity is critical for the development of effective cancer immunotherapies. Here, we discuss the current understanding of the mechanisms by which DNA damage activates immune responses that target and eradicate cancer cells. Yet, understanding how cancer cells can escape this immune surveillance and promote tumor progression represents an outstanding challenge. We highlight the most recent clinical advances, in particular how pharmacological fine-tuning of innate/adaptive immunity and its combination with DDR inhibitors, ionizing radiation (IR), and chemotherapy can be exploited to improve cancer treatment.