Abstract Background DNA methylation (DNAm) is considered a plausible pathway through which genetic and environmental factors may influence the development of allergies. However, causality has yet to be determined as it is unknown whether DNAm is rather a cause or consequence of allergic sensitization. Here, we investigated the direction of the observed associations between well-known environmental and genetic determinants of allergy, DNAm, and aeroallergen sensitization using a combination of high-dimensional and causal mediation analyses. Methods Using prospectively collected data from the German LISA birth cohort from two time windows (6–10 years: N = 234; 10–15 years: N = 167), we tested whether DNAm is a cause or a consequence of aeroallergen sensitization (specific immunoglobulin E > 0.35kU/l) by conducting mediation analyses for both effect directions using maternal smoking during pregnancy, family history of allergies, and a polygenic risk score (PRS) for any allergic disease as exposure variables. We evaluated individual CpG sites (EPIC BeadChip) and allergy-related methylation risk scores (MRS) as potential mediators in the mediation analyses. We applied three high-dimensional mediation approaches (HIMA, DACT, gHMA) and validated results using causal mediation analyses. A replication of results was attempted in the Swedish BAMSE cohort. Results Using high-dimensional methods, we identified five CpGs as mediators of prenatal exposures to sensitization with significant (adjusted p < 0.05) indirect effects in the causal mediation analysis (maternal smoking: two CpGs, family history: one, PRS: two). None of these CpGs could be replicated in BAMSE. The effect of family history on allergy-related MRS was significantly mediated by aeroallergen sensitization (proportions mediated: 33.7–49.6%), suggesting changes in DNAm occurred post-sensitization. Conclusion The results indicate that DNAm may be a cause or consequence of aeroallergen sensitization depending on genomic location. Allergy-related MRS, identified as a potential cause of sensitization, can be considered as a cross-sectional biomarker of disease. Differential DNAm in individual CpGs, identified as mediators of the development of sensitization, could be used as clinical predictors of disease development.