Abstract Background Cocaine use accelerates human immunodeficiency virus (HIV) progression and worsens HIV outcomes. We assessed whether DNA methylation in blood mediates the association between cocaine use and HIV severity in a veteran population. Methods We analyzed 1435 HIV-positive participants from the Veterans Aging Cohort Study Biomarker Cohort (VACS-BC). HIV severity was measured by the Veteran Aging Cohort Study (VACS) index. We assessed the effect of cocaine use on VACS index and mortality among the HIV-positive participants. We selected candidate mediators that were associated with both persistent cocaine use and VACS index by epigenome-wide association (EWA) scans at a liberal p value cutoff of 0.001. Mediation analysis of the candidate CpG sites between cocaine’s effect and the VACS index was conducted, and the joint mediation effect of multiple CpGs was estimated. A two-step epigenetic Mendelian randomization (MR) analysis was conducted as validation. Results More frequent cocaine use was significantly associated with a higher VACS index (β = 1.00, p = 2.7E−04), and cocaine use increased the risk of 10-year mortality (hazard ratio = 1.10, p = 0.011) with adjustment for confounding factors. Fifteen candidate mediator CpGs were selected from the EWA scan. Twelve of these CpGs showed significant mediation effects, with each explaining 11.3–29.5% of the variation. The mediation effects for 3 of the 12 CpGs were validated by the two-step epigenetic MR analysis. The joint mediation effect of the 12 CpGs accounted for 47.2% of cocaine’s effect on HIV severity. Genes harboring these 12 CpGs are involved in the antiviral response (IFIT3, IFITM1, NLRC5, PLSCR1, PARP9) and HIV progression (CX3CR1, MX1). Conclusions We identified 12 DNA methylation CpG sites that appear to play a mediation role in the association between cocaine use and HIV severity.