It remains elusive whether some of the associations identified in genome-wide association studies of prostate cancer (PrCa) may be due to regulatory effects of genetic variants on CpG sites, which may further influence expression of PrCa target genes. To search for CpG sites associated with PrCa risk, here we establish genetic models to predict methylation (N = 1,595) and conduct association analyses with PrCa risk (79,194 cases and 61,112 controls). We identify 759 CpG sites showing an association, including 15 located at novel loci. Among those 759 CpG sites, methylation of 42 is associated with expression of 28 adjacent genes. Among 22 genes, 18 show an association with PrCa risk. Overall, 25 CpG sites show consistent association directions for the methylation-gene expression-PrCa pathway. We identify DNA methylation biomarkers associated with PrCa, and our findings suggest that specific CpG sites may influence PrCa via regulating expression of candidate PrCa target genes.