So far, genetic studies of treatment response in schizophrenia, bipolar disorder, and major depression have returned results with limited clinical utility. A gene × environment interplay has been proposed as a factor influencing not only pathophysiology but also the treatment response. Therefore, epigenetics has emerged as a major field of research to study the treatment of these three disorders. Among the epigenetic marks that can modify gene expression, DNA methylation is the best studied. We performed a systematic search (PubMed) following Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA guidelines for preclinical and clinical studies focused on genome-wide and gene-specific DNA methylation in the context of schizophrenia, bipolar disorders, and major depressive disorder. Out of the 112 studies initially identified, we selected 31 studies among them, with an emphasis on responses to the gold standard treatments in each disorder. Modulations of DNA methylation levels at specific CpG sites have been documented for all classes of treatments (antipsychotics, mood stabilizers, and antidepressants). The heterogeneity of the models and methodologies used complicate the interpretation of results. Although few studies in each disorder have assessed the potential of DNA methylation as biomarkers of treatment response, data support this hypothesis for antipsychotics, mood stabilizers and antidepressants.