Epigenetic modification plays a critical role in establishing and maintaining cell differentiation, embryo development, tumorigenesis and many complex diseases. However, little is known about the epigenetic regulatory mechanisms for milk production in dairy cattle. Here, we conducted an epigenome‐wide study, together with gene expression profiles to identify important epigenetic candidate genes related to the milk production traits in dairy cattle. Whole‐genome bisulphite sequencing and RNA sequencing were employed to detect differentially methylated genes (DMG) and differentially expressed genes (DEG) in blood samples in dry period and lactation period between two groups of cows with extremely high and low milk production performance. A total of 10,877 and 6,617 differentially methylated regions were identified between the two groups in the two periods, which corresponded to 3,601 and 2,802 DMGs, respectively. Furthermore, 156 DEGs overlap with DMGs in comparison of the two groups, and 131 DEGs overlap with DMGs in comparison of the two periods. By integrating methylome, transcriptome and GWAS data, some potential candidate genes for milk production traits in dairy cattle were suggested, such as DOCK1, PTK2 and PIK3R1. Our studies may contribute to a better understanding of epigenetic modification on milk production traits of dairy cattle.