Monocytes/macrophages contribute to the neuropathogenesis of HIV-related cognitive impairment (CI); however, considerable gaps in our understanding of the precise mechanisms driving this relationship remain. Furthermore, whether a distinct biological profile associated with HIV-related CI resides in immune cell populations remains unknown. Here, we profiled DNA methylomes and transcriptomes of monocytes derived from HIV-infected individuals with and without CI using genome-wide DNA methylation and gene expression profiling. We identified 1,032 CI-associated differentially methylated loci in monocytes. These loci related to gene networks linked to the central nervous system (CNS) and interactions with HIV. Most (70.6%) of these loci exhibited higher DNA methylation states in the CI group and were preferentially distributed over gene bodies and intergenic regions of the genome. CI-associated DNA methylation states at 12 CpG sites associated with neuropsychological testing performance scores. CI-associated DNA methylation also associated with gene expression differences including CNS genes CSRNP1 (P = 0.017), DISC1 (P = 0.012), and NR4A2 (P = 0.005); and a gene known to relate to HIV viremia, THBS1 (P = 0.003). This discovery cohort data unveils cell type-specific DNA methylation patterns related to HIV-associated CI and provide an immunoepigenetic DNA methylation "signature" potentially useful for corroborating clinical assessments, informing pathogenic mechanisms, and revealing new therapeutic targets against CI.