Infants with severe bronchiolitis (i.e., bronchiolitis requiring hospitalization) face increased risks of respiratory diseases in childhood. We conduct epigenome-wide association studies in a multi-ethnic cohort of these infants. We identify 61 differentially methylated regions in infant blood (<1 year of age) associated with recurrent wheezing by age 3 (170 cases, 318 non-cases) and/or asthma by age 6 (112 cases, 394 non-cases). These differentially methylated regions are enriched in the enhancers of peripheral blood neutrophils. Several differentially methylated regions exhibit interaction with rhinovirus infection and/or specific blood cell types. In the same blood samples, circulating levels of 104 proteins correlate with the differentially methylated regions, and many proteins show phenotypic association with asthma. Through Mendelian randomization, we find causal evidence supporting a protective role of higher plasma ST2 (also known as IL1RL1) protein against asthma. DNA methylation is also associated with ST2 protein level in infant blood. Taken together, our findings suggest the contribution of DNA methylation to asthma development through regulating early-life systemic immune responses.