Patients infected with the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), responsible for the coronavirus disease 2019 (COVID-19), exhibit a wide spectrum of disease behaviour. Since DNA methylation has been implicated in the regulation of viral infections and the immune system, we performed an epigenome-wide association study (EWAS) to identify candidate loci regulated by this epigenetic mark that could be involved in the onset of COVID-19 in patients without comorbidities. Peripheral blood samples were obtained from 407 confirmed COVID-19 patients ≤ 61 years of age and without comorbidities, 194 (47.7%) of whom had mild symptomatology that did not involve hospitalization and 213 (52.3%) had a severe clinical course that required respiratory support. The set of cases was divided into discovery (n = 207) and validation (n = 200) cohorts, balanced for age and sex of individuals. We analysed the DNA methylation status of 850,000 CpG sites in these patients. The DNA methylation status of 44 CpG sites was associated with the clinical severity of COVID-19. Of these loci, 23 (52.3%) were located in 20 annotated coding genes. These genes, such as the inflammasome component Absent in Melanoma 2 (AIM2) and the Major Histocompatibility Complex, class I C (HLA-C) candidates, were mainly involved in the response of interferon to viral infection. We used the EWAS-identified sites to establish a DNA methylation signature (EPICOVID) that is associated with the severity of the disease. We identified DNA methylation sites as epigenetic susceptibility loci for respiratory failure in COVID-19 patients. These candidate biomarkers, combined with other clinical, cellular and genetic factors, could be useful in the clinical stratification and management of patients infected with the SARS-CoV-2. The Unstoppable campaign of the Josep Carreras Leukaemia Foundation, the Cellex Foundation and the CERCA Programme/Generalitat de Catalunya.