DNA methylation is an important epigenetic modification that regulates a wide range of biological processes including immune response. However, information on the epigenetics-mediated immune mechanisms in insects is limited. Therefore, in this study, we examined transcriptomes and DNA methylomes in the fat body and midgut tissues of silkworm, Bombyx mori with or without B. mori cytoplasmic polyhedrosis virus (BmCPV) infection. The transcriptional profile and the genomic DNA methylation patterns in the midgut and fat body were tissue-specific and dynamically altered after BmCPV challenge. KEGG pathway analysis revealed that differentially methylated genes (DMGs) could be involved in pathways of RNA transport, RNA degradation, nucleotide excision repair, DNA replication, etc. 27 genes were shown to have both differential expression and differential methylation in the midgut and fat body of infected larvae, respectively, indicating that the BmCPV infection-induced expression changes of these genes could be mediated by variations in DNA methylation. BS-PCR validated the hypomethylation of G2/M phase-specific E3 ubiquitin-protein ligase-like gene in the BmCPV infected midgut. These results demonstrated that epigenetic regulation may play roles in host-virus interaction in silkworm and would be potential value for further studies on mechanism of BmCPV epithelial-specific infection and epigenetic regulation in the silkworm.