Previous studies have indicated that specific CpG sites may be linked to the risk of prostate cancer (PCa) by regulating the expression of PCa target genes. However, most existing studies aim to identify DNA methylation (DNAm) biomarkers through blood tissue genetic instruments, which impedes the identification of relevant biomarkers in prostate tissue. To identify PCa risk-associated CpG sites in prostate tissue, we established genetic prediction models of DNAm levels using data from normal prostate samples in the GTEx (N = 108) and assessed associations between genetically predicted DNAm in prostate and PCa risk by studying 122,188 cases and 604,640 controls. We observed significant associations for 3879 CpG sites, including 926 at novel genomic loci. Among them, DNAm levels of 80 CpG sites located at novel loci are significantly associated with expression levels of 45 neighboring genes in normal prostate tissue. Of these genes, 11 further exhibit significant associations with PCa risk for their predicted expression levels in prostate tissue. Intriguingly, a total of 31 CpG sites demonstrate consistent association patterns across the methylation-gene expression-PCa risk pathway. Our findings suggest that specific CpG sites may be related to PCa risk by modulating the expression of nearby target genes.