The HLA region, especially HLA class I and II genes, which encode molecules for antigen presentation to T cells, plays a major role in the predisposition to autoimmune disorders. To clarify the mechanisms behind this association, we examined genome‐wide DNA methylation by microarrays to cover over 850,000 CpG sites in the CD4+ T cells and CD19+ B cells of healthy subjects homozygous either for DRB1*15‐DQA1*01‐DQB1*06:02 (DR2‐DQ6, n = 14), associated with a strongly decreased T1D risk, DRB1*03‐DQA1*05‐DQB1*02 (DR3‐DQ2, n = 19), or DRB1*04:01‐DQA1*03‐DQB1*03:02 (DR4‐DQ8, n = 17), associated with a moderately increased T1D risk. In total, we discovered 14 differentially methylated CpG probes, of which 10 were located in the HLA region and six in the HLA‐DRB1 locus. The main differences were between the protective genotype DR2‐DQ6 and the risk genotypes DR3‐DQ2 and DR4‐DQ8, where the DR2‐DQ6 group was hypomethylated compared to the other groups in all but four of the differentially methylated probes. The differences between the risk genotypes DR3‐DQ2 and DR4‐DQ8 were small. Our results indicate that HLA variants have few systemic effects on methylation and that their effect on autoimmunity is conveyed directly by HLA molecules, possibly by differences in expression levels or function.