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The epigenetic mechanisms of gene expression regulation are a group of the key cellular and molecular pathways that lead to inherited alterations in genes’ activity without changing their coding sequence. DNA methylation at the C5 position of cytosine in CpG dinucleotides is amongst the central epigenetic mechanisms. Currently, the number of studies that are devoted to the identification of methylation patterns specific to multiple sclerosis (MS), a severe chronic autoimmune disease of the central nervous system, is on a rapid rise. However, the issue of the contribution of DNA methylation to the development of the different clinical phenotypes of this highly heterogeneous disease has only begun to attract the attention of researchers. This review summarizes the data on the molecular mechanisms underlying DNA methylation and the MS risk factors that can affect the DNA methylation profile and, thereby, modulate the expression of the genes involved in the disease’s pathogenesis. The focus of our attention is centered on the analysis of the published data on the differential methylation of DNA from various biological samples of MS patients obtained using both the candidate gene approach and high-throughput methods.