Chronic Obstructive Pulmonary Disease (COPD) is a heterogeneous, chronic inflammatory process of the lungs and, like other complex diseases, is caused by both genetic and environmental factors. Detailed understanding of the molecular mechanisms of complex diseases requires the study of the interplay among different biomolecular layers, and thus the integration of different omics data types. In this study, we investigated COPD-associated molecular mechanisms through a correlation-based network integration of lung tissue RNA-seq and DNA methylation data of COPD cases (n = 446) and controls (n = 346) derived from the Lung Tissue Research Consortium. First, we performed a SWIM-network based analysis to build separate correlation networks for RNA-seq and DNA methylation data for our case-control study population. Then, we developed a method to integrate the results into a coupled network of differentially expressed and differentially methylated genes to investigate their relationships across both molecular layers. The functional enrichment analysis of the nodes of the coupled network revealed a strikingly significant enrichment in Immune System components, both innate and adaptive, as well as immune-system component communication (interleukin and cytokine-cytokine signaling). Our analysis allowed us to reveal novel putative COPD-associated genes and to analyze their relationships, both at the transcriptomics and epigenomics levels, thus contributing to an improved understanding of COPD pathogenesis.