DNA methylation (DNAm) plays a determining role in neural cell fate and provides a molecular link between early life stress and neuropsychiatric disease. Preterm birth is a profound environmental stressor that is closely associated with alterations in connectivity of neural systems and long-term neuropsychiatric impairment. The aims of this study were to examine the relationship between preterm birth and DNAm, and to investigate factors that contribute to variance in DNAm. DNA was collected from preterm infants (birth < 33 weeks’ gestation) and healthy controls (birth > 37 weeks), and a genome-wide analysis of DNAm was performed; diffusion MRI (dMRI) data were acquired from the preterm group. The major fasciculi were segmented, and fractional anisotropy, mean diffusivity and tract shape were calculated. Principal components analysis was used to investigate the contribution of MRI features and clinical variables to variance in DNAm. Differential methylation was found within 25 gene bodies and 58 promoters of protein-coding genes in preterm infants compared with controls; 10 of these have neural functions. Differences detected in the array were validated with pyrosequencing. Ninety-five percent of the variance in DNAm in preterm infants was explained by 23 principal components (PC); corticospinal tract shape associated with 6th PC, and gender and early nutritional exposure associated with the 7th PC. Preterm birth is associated with alterations in the methylome at sites that influence neural development and function. Differential methylation analysis has identified several promising candidate genes for understanding the genetic/epigenetic basis of preterm brain injury.