Recent reports describe how genome-wide transcriptional analysis of cancer tissues can be exploited to identify molecular signatures of immune infiltration in cancer. We hypothesize that immune infiltration in cancer may also be defined by changes in certain epigenetic signatures. In this context, a primary objective is to identify site-specific CpG markers whose levels of methylation may be highly indicative of known transcriptional markers of immune infiltration such as GZMA, PRF1, T cell receptor genes, PDCD1, and CTLA4. This has been accomplished by integrating genome-wide transcriptional expression and methylation data for different types of cancer (melanoma, kidney cancers, lung cancers, gliomas, head and neck cancer). Our findings establish that cancers of related histology also have a high degree of similarity in immune-infiltration CpG markers. For example, the epigenetic immune infiltration signatures in lung adenocarcinoma (LUAD), mesothelioma (MESO), lung squamous cell carcinoma (LUSC), and head and neck squamous cell carcinoma (HNSC) are distinctly similar. So are glioblastoma multiforme (GBM) and brain lower grade glioma (LGG); and kidney renal papillary cell carcinoma (KIRP) and kidney renal clear cell carcinoma (KIRC). Kidney chromophobe (KICH), on the other hand has markers that are unique to this cohort. The strong relationships between immune infiltration and CpG methylation (for certain sites) in cancer tissues were not observed upon integrated analysis of publicly available cancer cell line datasets. Results from comparative pathways analyses offer further justification to methylation at certain CpG sites as being indicators of cancer immune infiltration, and possibly of predicting patient response to immunotherapeutic drugs. Achieving this target objective would significantly enhance therapeutic outcomes employing immunotherapy through focused patient-centric personalized medicine.