The emergence of drug resistance is one of the main obstacles to the treatment of lung cancer patients with EGFR inhibitors. Here, to further understand the mechanism of EGFR inhibitors in lung cancer and offer novel therapeutic targets for anti-EGFR-inhibitor resistance via the deep mining of pharmacogenomics data, we associated DNA methylation with drug sensitivities for uncovering the methylation sites related to EGFR inhibitor sensitivity genes. Specifically, we first introduced a grouped regularized regression model (Group Least Absolute Shrinkage and Selection Operator, group lasso) to detect the genes that were closely related to EGFR inhibitor effectiveness. Then, we applied the classical regression model (lasso) to identify the methylation sites associated with the above drug sensitivity genes. The new model was validated on the well-known cancer genomics resource: CTRP. GeneHancer and Encyclopedia of DNA Elements (ENCODE) database searches indicated that the predicted methylation sites related to EGFR inhibitor sensitivity genes were related to regulatory elements. Moreover, the correlation analysis on sensitivity genes and predicted methylation sites suggested that the methylation sites located in the promoter region were more correlated with the expression of EGFR inhibitor sensitivity genes than those located in the enhancer region and the TFBS. Meanwhile, we performed differential expression analysis of genes and predicted methylation sites and found that changes in the methylation level of some sites may affect the expression of the corresponding EGFR inhibitor-responsive genes. Therefore, we supposed that the effectiveness of EGFR inhibitors in lung cancer may be improved by methylation modification in their sensitivity genes.