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Background: 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. Methods: 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. Findings: 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. Interpretation: 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. Funding: The Unstoppable campaign of the Josep Carreras Leukaemia Foundation, the Cellex Foundation and the CERCA Programme/Generalitat de Catalunya.