Immune cells are one of the most complex and diverse systems in the human organism. Such diversity implies an intricate network of different cell types and interactions that are dependently interconnected. The processes by which different cell types differentiate from progenitors, mature, and finally exert their function requires an orchestrated succession of molecular processes that determine cell phenotype and function. The acquisition of these phenotypes is highly dependent on the establishment of unique epigenetic profiles that confer identity and function on the various types of effector cells. These epigenetic mechanisms integrate microenvironmental cues into the genome to establish specific transcriptional programs. Epigenetic modifications bridge environment and genome regulation and play a role in human diseases by their ability to modulate physiological programs through external stimuli. DNA methylation is one of the most ubiquitous, stable, and widely studied epigenetic modifications. Recent technological advances have facilitated the generation of a vast amount of genome-wide DNA methylation data, providing profound insights into the roles of DNA methylation in health and disease. This review considers the relevance of DNA methylation to immune system cellular development and function, as well as the participation of DNA methylation defects in immune-mediated pathologies, illustrated by selected paradigmatic diseases.