Interaction of genetic predispositions and environmental factors via epigenetic mechanisms have been hypothesized to play a central role in Panic Disorder (PD) aetiology and therapy. Cognitive Behavioral Therapy (CBT), including exposure interventions, belong to the most efficient treatments of PD although its biological mechanism of action remains unknown. For the first time, we explored the dynamics and magnitude of DNA-methylation and immune cell-type composition during CBT (n = 38) and the therapeutic exposure intervention (n = 21) to unravel their biological correlates and identify possible biomarkers of therapy success. We report transient regulation of the CD4 + T-Cells, Natural Killers cells, Granulocytes during exposure and a significant change in the proportions of CD4 + T cells, CD8 + T cells and B-Cells and Granulocytes during therapy. In an epigenome-wide association study we identified cg01586609 located in a CpG island and annotated to the serotonin receptor 3 A (HTR3A) to be differentially methylated during fear exposure and regulated at gene expression level with significant differences between remitters and non-remitters (p = 0.028). We moreover report cg01699630 annotated to ARG1 to undergo long lasting methylation changes during therapy (paired t test, genome-wide adj.p value = 0.02). This study reports the first data-driven biological candidates for epigenetically mediated effects of acute fear exposure and CBT in PD patients. Our results provide evidence of changes in the serotonin receptor 3 A methylation and expression during fear exposure associated with different long-term CBT trajectories and outcome, making it a possible candidate in the search of markers for therapy success. Finally, our results add to a growing body of evidence showing immune system changes associated with PD.