The relationship between DNA methylation and gene expression is complex and elusive. To further elucidate these relations, we performed an integrative analysis of the methylome and transcriptome of 4 circulating immune cell subsets (B cells, monocytes, CD4(+), and CD8(+) T cells) from healthy females. Additionally, in light of the known sex bias in the prevalence of several immune-mediated diseases, the female datasets were compared with similar public available male data sets. Immune cell-specific differentially methylated regions (DMRs) were found to be highly similar between sexes, with an average correlation coefficient of 0.82; however, numerous sex-specific DMRs, shared by the cell subsets, were identified, mainly on autosomal chromosomes. This provides a list of highly interesting candidate genes to be studied in disorders with sexual dimorphism, such as autoimmune diseases. Immune cell-specific DMRs were mainly located in the gene body and intergenic region, distant from CpG islands but overlapping with enhancer elements, indicating that distal regulatory elements are important in immune cell specificity. In contrast, sex-specific DMRs were overrepresented in CpG islands, suggesting that the epigenetic regulatory mechanisms of sex and immune cell specificity may differ. Both positive and, more frequently, negative correlations between subset-specific expression and methylation were observed, and cell-specific DMRs of both interactions were associated with similar biological pathways, while sex-specific DMRs were linked to networks of early development or estrogen receptor and immune-related molecules. Our findings of immune cell- and sex-specific methylome and transcriptome profiles provide novel insight on their complex regulatory interactions and may particularly contribute to research of immune-mediated diseases.