We aimed to identify key genes and pathways associated with different immune statuses of hepatitis B virus (HBV) infection. The gene expression and DNA methylation profiles were analysed in different immune statuses of HBV infection. Differentially expressed genes (DEGs) and differentially methylated genes (DMGs) were identified, followed by their functional and integrative analyses. The differential expression of IgG Fc receptors (FcγRs) in chronic HBV‐infected patients and immune cells during different stages of HBV infection was investigated. Toll‐like receptor (TLR) signalling pathway (including TLR6) and leucocyte transendothelial migration pathway (including integrin subunit beta 1) were enriched during acute infection. Key DEGs, such as FcγR Ib and FcγR Ia, and interferon‐alpha inducible protein 27 showed correlation with alanine aminotransferase levels, and they were differentially expressed between acute and immune‐tolerant phases and between immune‐tolerant and immune‐clearance phases. The integrative analysis of DNA methylation profile showed that lowly methylated and highly expressed genes, including cytotoxic T lymphocyte‐associated protein 4 and mitogen‐activated protein kinase 3 were enriched in T cell receptor signalling pathway during acute infection. Highly methylated and lowly expressed genes, such as Ras association domain family member 1 and cyclin‐dependent kinase inhibitor 2A were identified in chronic infection. Furthermore, differentially expressed FcγR Ia, FcγR IIa and FcγR IIb, CD3−CD56+CD16+ natural killer cells and CD14highCD16+ monocytes were identified between immune‐tolerant and immune‐clearance phases by experimental validation. The above genes and pathways may be used to distinguish different immune statuses of HBV infection.