SARS-CoV-2 infection can cause an inflammatory syndrome (COVID-19) leading, in many cases, to bilateral pneumonia, severe dyspnea, and in ~5% of these, death. DNA methylation is known to play an important role in the regulation of the immune processes behind COVID-19 progression, however it has not been studied in depth. In this study, we aim to evaluate the implication of DNA methylation in COVID-19 progression by means of a genome-wide DNA methylation analysis combined with DNA genotyping. The results reveal the existence of epigenomic regulation of functional pathways associated with COVID-19 progression and mediated by genetic loci. We find an environmental trait-related signature that discriminates mild from severe cases and regulates, among other cytokines, IL-6 expression via the transcription factor CEBP. The analyses suggest that an interaction between environmental contribution, genetics, and epigenetics might be playing a role in triggering the cytokine storm described in the most severe cases.