Cigarette smoking is an established environmental risk factor for Multiple Sclerosis (MS), a chronic inflammatory and neurodegenerative disease, although a mechanistic basis remains largely unknown. We aimed at investigating how smoking affects blood DNA methylation in MS patients, by assaying genome-wide DNA methylation and comparing smokers, former smokers and never smokers in two Swedish cohorts, differing for known MS risk factors. Smoking affects DNA methylation genome-wide significantly, an exposure-response relationship exists and the time since smoking cessation affects methylation levels. The results also show that the changes were larger in the cohort bearing the major genetic risk factors for MS (female sex and HLA risk haplotypes). Furthermore, CpG sites mapping to genes with known genetic or functional role in the disease are differentially methylated by smoking. Modeling of the methylation levels for a CpG site in the AHRR gene indicates that MS modifies the effect of smoking on methylation changes, by significantly interacting with the effect of smoking load. Alongside, we report that the gene expression of AHRR increased in MS patients after smoking. Our results suggest that epigenetic modifications may reveal the link between a modifiable risk factor and the pathogenetic mechanisms.