For locals, the corner of County Road 39 and North Sea Road in Southampton isn’t complete without Tom Wedell—a lone man waving, smiling and toting his “Deport Illegals” sign across the street from an army of immigrant workers, legal and undocumented alike.

Driving by this familiar scene on a daily basis, documentary filmmaker Dennis Michael Lynch never gave it a second thought. But that changed on an autumn day 16 months ago when he was stuck at the corner’s red light with the top off his turquoise Jeep Wrangler, listening to people honk their horns in encouragement at Mr. Wedell or scream out nasty comments from their rolled-down windows.

Then, Neil Diamond’s “America” happened to come on the radio.

“It all just started to connect,” Mr. Lynch, a self-declared “big Neil Diamond fan,” recalled during a telephone interview last week. “Tom Wedell. The 100 guys standing on the opposite corner from him. I thought, ‘I have to see what this guy’s deal is.’ I pull over, and I had my camera guy with me there at the time, and I started BS-ing with Tom. I told the camera guy, ‘Get that thing, turn it on.’”

And so began Mr. Lynch’s most recent documentary, “They Come To America,” which is debuting in an exclusive, one-night screening on Saturday, March 31, at Guild Hall in East Hampton—the same venue for his first movie’s debut, “King of the Hamptons.”

“They Come To America” whittles down more than 100 hours of footage into 100 minutes and focuses on the human and financial costs of illegal immigration, Mr. Lynch said. He added that he’s never seen another film tackle the issue from both sides of the political spectrum.

Over 14 months, Mr. Lynch shot footage with a four-man crew in Arizona, California, Illinois, Florida, Washington, D.C., Colorado and New York. A third of the film takes place in the Hamptons—around both Southampton and East Hampton towns. That action happens inside the home of an illegal family here and even in the filmmaker’s own backyard in East Hampton.

Across the country, the crew covered debates, rallies, events and traveled down to the Mexican border, where they were chased by the drug cartel, Mr. Lynch said. In contrast, politicians ran away from the cameras when pressed with the tough questions, he said.

“My hope was to create a film that Congress would not be able to ignore,” Mr. Lynch said, noting that he independently funded the project. “This is the film that so many people don’t want you to see. This is the sort of film that can spark change.”

From the movie’s beginnings on that street corner in Southampton, Mr. Lynch instantly realized the gravity of one of the hottest political topics in the country: illegal immigration. In just a half hour, the 42-year-old, non-political filmmaker heard some passers-by praise Mr. Wedell as the biggest patriot in America while others called him a racist behind an American flag, he reported.

“Never once, I swear to you on my life, with the things that people say to him and throw at him, did he ever, ever use a curse word,” Mr. Lynch said. “I had people stand in front of him, throw shit at him, say, ‘You f—ing [expletive]. You are an embarrassment to America.’ You know what he’d say? ‘Thank you for sharing your opinion.’ If someone did that to me and threw a cup of coffee on me, the situation wouldn’t have been like that. That guy’s been stabbed, shot and gets death threats all the time.”

Leaving the scene, Mr. Lynch knew illegal immigration had to be the topic of his next project, even though before that day he’d never given a single thought about it. And so, he rounded up and filmed those who had—ranchers, lobbyists, school and hospital administrators, immigration experts, and even the undocumented immigrants holed up in the Hamptons.

“If I was going to make this film, I needed to know what the hell I was talking about,” Mr. Lynch said. “So I found the people who did on both sides of the issue. That was the style I took: go down the middle of this topic and just let the camera tell the story.”

The camera does just that during the crew’s three-day campout on the United States-Mexico border in Arizona.

“We were in the dirt,” Mr. Lynch recalled. “We put ourselves in harm’s way up against the drug cartel. We were warned by police, ‘Do not go down there. We do not go down there.’ We went down there. You cannot describe what is going on with illegal immigration, especially at the border, unless you see it and live it.”

With the help of an undocumented Ecuadorian on the East End, the filmmaker learned and followed the path that a typical illegal immigrant takes to get to New York. Illegal immigration is alive and well, Mr. Lynch said, noting that he saw it with his own eyes before being chased off by the cartel.

“What a lot of people don’t understand is they get an image of illegal immigrants—three kids with backpacks—crossing the border, surviving in the desert for a few days, hopping in the back of a truck and ending up in New York,” Mr. Lynch said. “Nowadays, the drug cartels run the border. These people are paying 10, 15, 20 thousand dollars to get here. You can’t get through the border unless it’s through the drug cartels.”

The drug cartels typically divide the immigrants into groups of 20, Mr. Lynch said. They cross the border and a truck brings them to Phoenix, Arizona. They’re put in a “drop house,” he said, which is run by large men carrying guns. Then, the children are forced to call their parents at home and ask for $5,000. When the money isn’t sent, they don’t leave the house—or worse.

“If the money doesn’t get there, you, as a woman, are now raped,” Mr. Lynch said. “The phone call then goes back home, as he’s raping you, and guess what? The $5,000 gets sent. If it doesn’t, you stay in that house until it does. People don’t know this. I’m a father of two girls. I cannot fathom getting that phone call.”

While the film depicts the brutal side of illegal immigration, it does not victimize the undocumented, Mr. Lynch said. In Arizona, he talked with ranchers who live in constant fear along the border. Some, after returning home from running errands, arm themselves with guns and search their homes to make sure they’re safe before letting their families inside.

“Immigrant and illegal immigrant—it’s a mess when you mix those two up,” Mr. Lynch said. “It’s the difference between a houseguest and a burglar.”

Before traveling the country, Mr. Lynch set out with a purpose: to answer the big questions swirling around illegal immigration. He advises liberals who want to see the immigrant portrayed as helpless and unaware to steer clear of this movie. Republicans who are itching for a film that slams every employer who hires an undocumented worker should also stay away, he said. Instead, “They Come To America” tackles the impacts on the American taxpayer and schools, whether illegal immigration is really the catalyst behind the broken health care system, and addresses how the millions are getting into the country so easily.

“There’s an image that everyone’s coming here because they want the American Dream,” he said. “That applies to some, but not to all. That’s why I named the movie ‘They Come To America.’ That song sells an image. Got a dream? Make it there. What has to happen is the dream has to be defined. Is the dream to come here or is it to come here, make money and go back home? If it’s the first, that’s fine, but it’s not okay if they’re just coming here for services and then not paying into the system that they’re using.”

Mr. Lynch let out a sigh tinged with a hint of frustration.

“The problem can’t be ignored anymore,” he said. “People either have to be told to stay and start paying taxes, or leave. The economy is the worst it’s been in 100 years. When the economy comes back, illegal immigrants will be coming back in droves unless something is done. The problem, as bad as people think it is now, if it does not get resolved somehow, it will explode.”

Filmmaker Dennis Michael Lynch will debut his second documentary, “They Come To America,” on Saturday, March 31, at 7:45 p.m. at Guild Hall. Retired journalist John Roland, formerly of Fox 5, will lead a Q&A panel with Mr. Lynch, retired New York-based Immigration and Naturalization Service agent Mike Cutler and Commack-based immigration attorney Bill Streppone, who both appear in the film, after the screening. Advance tickets are $12.50, or $15 at the door, cash only. For more information, visit theycometoamerica.com/screenings.