Changes in gene regulation are thought to play an important role in speciation and adaptation, especially in primates. However, we still know relatively little about the mechanisms underlying regulatory evolution. In particular, the extent to which epigenetic modifications underlie gene expression differences between primates is not yet known. Our study focuses on an epigenetic histone modification, H3K4me3, which is thought to promote transcription. To investigate the contribution of H3K4me3 to regulatory differences between species, we collected gene expression data and identified H3K4me3-associated genomic regions in lymphoblastoid cell lines (LCLs) from humans, chimpanzees, and rhesus macaques, using three cell lines from each species. We found strong evidence for conservation of H3K4me3 localization in primates. Moreover, regardless of species, H3K4me3 is consistently enriched near annotated transcription start sites (TSS), and highly expressed genes are more likely than lowly expressed genes to have the histone modification near their TSS. Interestingly, we observed an enrichment of interspecies differences in H3K4me3 at the TSS of genes that are differentially expressed between species. We estimate that as much as 7% of gene expression differences between the LCLs of humans, chimpanzees, and rhesus macaques may be explained, at least in part, by changes in the status of H3K4me3 histone modifications. Our results suggest a modest, yet important role for epigenetic changes in gene expression differences between primates.