Although approved programmed cell death protein (PD)-1 inhibitors show durable responses, clinical benefits to these agents are only seen in one-third of patients in most cancer types. Therefore, strategies for improving the response to PD-1 inhibitor for treating various cancers including non-small cell lung cancer (NSCLC) are urgently needed. Compared with genome and transcriptome, tumor DNA methylome in anti-PD-1 response was relatively unexplored. We compared the pre-treatment methylation status of cis-regulatory elements between responders and non-responders to treatment with nivolumab or pembrolizumab using the Infinium Methylation EPIC Array, which can profile ~850,000 CpG sites, including ~350,000 CpG sites located in enhancer regions. Then, we analyzed differentially methylated regions overlapping promoters (pDMRs) or enhancers (eDMRs) between responders and non-responders to PD-1 inhibitors. We identified 1007 pDMRs and 607 eDMRs associated with the anti-PD-1 response. We also identified 1109 and 1173 target genes putatively regulated by these pDMRs and eDMRs, respectively. We found that eDMRs contribute to the epigenetic regulation of the anti-PD-1 response more than pDMRs. Hypomethylated pDMRs of Cytohesin 1 Interacting Protein (CYTIP) and TNF superfamily member 8 (TNFSF8) were more predictive than programmed cell death protein ligand 1 (PD-L1) expression for anti-PD-1 response and progression-free survival (PFS) and overall survival (OS) in a validation cohort, suggesting their potential as predictive biomarkers for anti-PD-1 immunotherapy. The catalog of promoters and enhancers differentially methylated between responders and non-responders to PD-1 inhibitors presented herein will guide the development of biomarkers and therapeutic strategies for improving anti-PD-1 immunotherapy in NSCLC.