Abstract Background There is mounting evidence that our environment and lifestyle has an impact on epigenetic regulatory mechanisms, such as DNA methylation. It has been suggested that these molecular processes may mediate the effect of risk factors on disease susceptibility, although evidence in this regard has been challenging to uncover. Using genetic variants as surrogate variables, we have used two-sample Mendelian randomization (2SMR) to investigate the potential implications of putative changes to DNA methylation levels on disease susceptibility. Methods To illustrate our approach, we identified 412 CpG sites where DNA methylation was associated with prenatal smoking. We then applied 2SMR to investigate potential downstream effects of these putative changes on 643 complex traits using findings from large-scale genome-wide association studies. To strengthen evidence of mediatory mechanisms, we used multiple-trait colocalization to assess whether DNA methylation, nearby gene expression and complex trait variation were all influenced by the same causal genetic variant. Results We identified 22 associations that survived multiple testing (P < 1.89 × 10–7). In-depth follow-up analyses of particular note suggested that the associations between DNA methylation at the ASPSCR1 and REST/POL2RB gene regions, both linked with reduced lung function, may be mediated by changes in gene expression. We validated associations between DNA methylation and traits using independent samples from different stages across the life course. Conclusion Our approach should prove valuable in prioritizing CpG sites that may mediate the effect of causal risk factors on disease. In-depth evaluations of findings are necessary to robustly disentangle causality from alternative explanations such as horizontal pleiotropy.