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DNA methylation shifts in Hypothalamic–pituitary–adrenal (HPA) axis related genes is reported in psychiatric disorders including hypersexual disorder. This study, comprising 20 dexamethasone suppression test (DST) non-suppressors and 73 controls, examined the association between the HPA axis dysregulation, shifts in DNA methylation of HPA axis related genes and importantly, gene expression. Individuals with cortisol level ≥ 138 nmol/l, after the low dose (0.5 mg) dexamethasone suppression test (DST) were classified as non-suppressors. Genome-wide methylation pattern, measured in whole blood using the EPIC BeadChip, investigated CpG sites located within 2000 bp of the transcriptional start site of key HPA axis genes, i.e.: CRH, CRHBP, CRHR-1, CRHR-2, FKBP5 and NR3C1. Regression models including DNA methylation M-values and the binary outcome (DST non-suppression status) were performed. Gene transcripts with an abundance of differentially methylated CpG sites were identified with binomial tests. Pearson correlations and robust linear regressions were performed between CpG methylation and gene expression in two independent cohorts. Six of 76 CpG sites were significantly hypermethylated in DST non-suppressors (nominal P < 0.05), associated with genes CRH, CRHR1, CRHR2, FKBP5 and NR3C1. NR3C1 transcript AJ877169 showed statistically significant abundance of probes differentially methylated by DST non-suppression status and correlated with DST cortisol levels. Further, methylation levels of cg07733851 and cg27122725 were positively correlated with gene expression levels of the NR3C1 gene. Methylation levels of cg08636224 (FKBP5) correlated with baseline cortisol and gene expression. Our findings revealed that DNA methylation shifts are involved in the altered mechanism of the HPA axis suggesting that new epigenetic targets should be considered behind psychiatric disorders.