Microbial nucleic acids are critical for the induction of innate immune responses, a host defense mechanism against infection by microbes. Recent studies have indicated that double-stranded DNA (dsDNA) induces potent innate immune responses via the induction of type I IFN (IFN) and IFN-inducible genes. However, the regulatory mechanisms underlying dsDNA-triggered signaling are not fully understood. Here we show that the translocation and assembly of the essential signal transducers, stimulator of IFN genes (STING) and TANK-binding kinase 1 (TBK1), are required for dsDNA-triggered innate immune responses. After sensing dsDNA, STING moves from the endoplasmic reticulum (ER) to the Golgi apparatus and finally reaches the cytoplasmic punctate structures to assemble with TBK1. The addition of an ER-retention signal to the C terminus of STING dampens its ability to induce antiviral responses. We also show that STING co-localizes with the autophagy proteins, microtubule-associated protein 1 light chain 3 (LC3) and autophagy-related gene 9a (Atg9a), after dsDNA stimulation. The loss of Atg9a, but not that of another autophagy-related gene (Atg7), greatly enhances the assembly of STING and TBK1 by dsDNA, leading to aberrant activation of the innate immune response. Hence Atg9a functions as a regulator of innate immunity following dsDNA stimulation as well as an essential autophagy protein. These results demonstrate that dynamic membrane traffic mediates the sequential translocation and assembly of STING, both of which are essential processes required for maximal activation of the innate immune response triggered by dsDNA.