Porcine circovirus type 2 (PCV2) causes porcine circovirus-associated disease. Capsid (Cap) protein of PCV2 is the principal immunogenic protein that induces neutralizing antibodies and protective immunity. GM-CSF is an immune adjuvant that enhances responses to vaccines. In this study, recombinant baculoviruses Ac-Cap and Ac-Cap-GM-CSF expressing the Cap protein alone and co-expressing the Cap protein and porcine GM-CSF, respectively, were constructed successfully. The target proteins were analyzed by western blotting and IFA. Further, these proteins were confirmed by electron microscopy, which showed that Cap proteins could self-assemble into virus-like particles having diameters of 17–25 nm. Animal experiments showed that pigs immunized with Cap-GM-CSF subunit vaccine showed significantly higher levels of PCV2-specific antibodies and neutralizing antibodies than pigs immunized with the Cap subunit vaccine and a commercial vaccine (Ingelvac CircoFLEX; P < 0.05). After PCV2 wild strain challenged, Pigs receiving the Cap-GM-CSF subunit vaccine showed significantly higher average daily weight gain after wild-type PCV2 challenge than pigs receiving the other three vaccines (P < 0.05). None of PCV2 DNA was detected in all immunized animals, except control animals immunized with phosphate-buffered saline. These results indicated that GM-CSF was a powerful immunoadjuvant for PCV2 subunit vaccines because it enhanced humoral immune response and improved immune protection against PCV2 infection in pigs. Thus, the novel Cap-GM-CSF subunit vaccine has the potential to be used as an effective and safe vaccine candidate against PCV2 infection.