Prostate cancer (PCa) is the most commonly diagnosed malignant neoplasm in men in the Western world. Localized low-risk PCa has an excellent prognosis thanks to effective local treatments; however, despite the incorporation of new therapeutic strategies, metastatic PCa remains incurable mainly due to disease heterogeneity and the development of resistance to therapy. The mechanisms underlying PCa progression and therapy resistance are multiple and include metabolic reprogramming, especially in relation to lipid metabolism, as well as epigenetic remodelling, both of which enable cancer cells to adapt to dynamic changes in the tumour. Interestingly, metabolism and epigenetics are interconnected. Metabolism can regulate epigenetics through the direct influence of metabolites on epigenetic processes, while epigenetics can control metabolism by directly or indirectly regulating the expression of metabolic genes. Moreover, epidemiological studies suggest an association between a high-fat diet, which can alter the availability of metabolites, and PCa progression. Here, we review the alterations of lipid metabolism and epigenetics in PCa, before focusing on the mechanisms that connect them. We also discuss the influence of diet in this scenario. This information may help to identify prognostic and predictive biomarkers as well as targetable vulnerabilities.