Objectives. The differential diagnosis of pleural effusion (PE) is a common but major challenge in clinical practice. This study aimed to establish a strategy based on a PE-cell-free DNA (cfDNA) methylation detection system for the differential diagnosis of malignant pleural effusion (MPE) and benign pleural effusion (BPE). Methods. A total of 104 patients with PE were enrolled in this study, among which 50 patients had MPE, 9 malignant tumor patients had PE of indefinite causes, and the other 45 patients were classified as benign controls. The methylation status of short stature homeobox 2 (SHOX2) and RAS association domain family 1, isoform A (RASSF1A) was detected using PE-cfDNA specimens by real-time fluorescence quantitative PCR. Total methylation (TM) was defined as the combination of the methylation levels of SHOX2 and RASSF1A. The electrochemiluminescence immunoassay was applied to evaluate the levels of multiple serum tumor markers. Results. The PE-cfDNA methylation status of either SHOX2 or RASSF1A was much higher in MPE samples than in benign controls. The combination of SHOX2 and RASSF1A methylation in PE yielded a diagnostic sensitivity of 96% and a specificity of 100%, respectively. When compared with the corresponding serum tumor marker detection results, TM showed the highest diagnostic efficiency (AUC = 0.985). Furthermore, the combination of the SHOX2 and RASSF1A methylation panels using PE-cfDNA could apparently improve the differential diagnostic efficacy of BPE and MPE and could help compensate for the deficiency of cytology. Conclusions. Our results indicated that SHOX2 and RASSF1A methylation panel detection could accurately classify BPE and MPE diseases and showed better diagnostic performance than traditional serum parameters. The SHOX2 and RASSF1A methylation detection of PE-cfDNA could be a potentially effective complementary tool for cytology in the process of differential diagnosis. In summary, PE-cfDNA could be used as a promising non-invasive analyte for the auxiliary diagnosis of MPE.