Emerging evidence has shown that epigenetic changes in DNA methylation, an important regulator of long non-coding RNA (lncRNA) expression, can disturb the expression patterns of lncRNAs and contribute to carcinogenesis. However, knowledge about crosstalk effects between DNA methylation and lncRNA regulation in thyroid cancer (THCA) remain largely unknown. In this study, we performed an integrated analysis of methylation and the transcriptome and identified 483 epigenetically regulated lncRNAs (EpilncRNAs) associated with the development and progression of THCA. These EpilncRNAs can be divided into two categories based on their methylation and expression patterns: 228 HyperLncRNAs and 255 HypoLncRNAs. Then, we identified a methylation-driven 5-lncRNA-based signature (EpiLncPM) to improve prognosis prediction using the random survival forest and multivariate Cox analysis, which were then validated using the training dataset [Hazard ratio (HR) = 50.097, 95% confidence interval (CI): 10.231-245.312, p < 0.001] and testing dataset (HR = 4.395, 95% CI: 0.981-19.686, p = 0.053). Multivariate analysis suggested that the EpiLncPM is an independent prognostic factor. By performing a functional enrichment analysis of GO and KEGG for mRNAs co-expressed with the EpiLncPM, we found that the EpiLncPM was involved in immune and inflammatory-related biological processes. Finally, in situ hybridization analysis in 119 papillary thyroid carcinoma (PTC) tissues and paired adjacent normal tissues revealed that selected candidate lncRNA AC110011 has significantly higher expression of PTC compared to adjacent non-neoplastic tissues, and was closely related to the tumor size, lymph node metastasis, and extrathyroidal extension. In summary, our study characterized the crosstalk between DNA methylation and lncRNA, and provided novel biomarkers for the prognosis of THCA.