Genome-wide association studies have identified more than 100 SNPs that increase the risk of prostate cancer (PrCa). We identify and compare expression quantitative trait loci (eQTLs) and CpG methylation quantitative trait loci (meQTLs) among 147 established PrCa risk SNPs in primary prostate tumors (n = 355 from a Seattle-based study and n = 495 from The Cancer Genome Atlas, TCGA) and tumor-adjacent, histologically benign samples (n = 471 from a Mayo Clinic study). The role of DNA methylation in eQTL regulation of gene expression was investigated by data triangulation using several causal inference approaches, including a proposed adaptation of the Causal Inference Test (CIT) for causal direction. Comparing eQTLs between tumors and benign samples, we show that 98 of the 147 risk SNPs were identified as eQTLs in the tumor-adjacent benign samples, and almost all 34 eQTL identified in tumor sets were also eQTLs in the benign samples. Three lines of results support the causal role of DNA methylation. First, nearly 100 of the 147 risk SNPs were identified as meQTLs in one tumor set, and almost all eQTLs in tumors were meQTLs. Second, the loss of eQTLs in tumors relative to benign samples was associated with altered DNA methylation. Third, among risk SNPs identified as both eQTLs and meQTLs, mediation analyses suggest that over two-thirds have evidence of a causal role for DNA methylation, mostly mediating genetic influence on gene expression. In summary, we provide a comprehensive catalog of eQTLs, meQTLs and putative cancer genes for known PrCa risk SNPs. We observe that a substantial portion of germline eQTL regulatory mechanisms are maintained in the tumor development, despite somatic alterations in tumor genome. Finally, our mediation analyses illuminate the likely intermediary role of CpG methylation in eQTL regulation of gene expression.