During hematopoiesis, a unique hematopoietic stem cell (HSC) from the bone marrow gives rise to a subset of mature blood cells that directs all the immune responses. Recent studies have shown that this well-defined, hierarchical process is regulated in part by epigenetic mechanisms. Changes in the DNA methylation profile have a critical role in the division of these stem cells into the myeloid and lymphoid lineages and in the establishment of a specific phenotype and functionality in each terminally differentiated cell type. In this review, we describe how the DNA methylation patterns are modified during hematopoietic differentiation and what their role is in cell plasticity and immune function. An in-depth knowledge of these epigenetic mechanisms will help clarify how cell type-specific gene programs are established, and how they can be leveraged in the development of novel strategies for treating immune system-related pathologies.