Inherited genetic variation affects local gene expression and DNA methylation in humans. Most expression quantitative trait loci (cis-eQTLs) occur at the same genomic location as a methylation QTL (cis-meQTL), suggesting a common causal variant and shared mechanism. Using DNA and RNA from peripheral blood of Bangladeshi individuals, here we use co-localization methods to identify eQTL-meQTL pairs likely to share a causal variant. We use partial correlation and mediation analyses to identify >400 of these pairs showing evidence of a causal relationship between expression and methylation (i.e., shared mechanism) with many additional pairs we are underpowered to detect. These co-localized pairs are enriched for SNPs showing opposite associations with expression and methylation, although many SNPs affect multiple CpGs in opposite directions. This work demonstrates the pervasiveness of co-regulated expression and methylation in the human genome. Applying this approach to other types of molecular QTLs can enhance our understanding of regulatory mechanisms.