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Background The associations between blood lipids and DNA methylation have been investigated in epigenome-wide association studies mainly among European ancestry populations. Several studies have explored the direction of the association using cross-sectional data, while evidence of longitudinal data is still lacking. Results We tested the associations between peripheral blood leukocytes DNA methylation and four lipid measures from Illumina 450 K or EPIC arrays in 1084 participants from the Chinese National Twin Registry and replicated the result in 988 participants from the China Kadoorie Biobank. A total of 23 associations of 19 CpG sites were identified, with 4 CpG sites located in or adjacent to 3 genes (TMEM49, SNX5/SNORD17 and CCDC7) being novel. Among the validated associations, we conducted a cross-lagged analysis to explore the temporal sequence and found temporal associations of methylation levels of 2 CpG sites with triglyceride and 2 CpG sites with high-density lipoprotein-cholesterol (HDL-C) in all twins. In addition, methylation levels of cg11024682 located in SREBF1 at baseline were temporally associated with triglyceride at follow-up in only monozygotic twins. We then performed a mediation analysis with the longitudinal data and the result showed that the association between body mass index and HDL-C was partially mediated by the methylation level of cg06500161 (ABCG1), with a mediation proportion of 10.1%. Conclusions Our study indicated that the DNA methylation levels of ABCG1, AKAP1 and SREBF1 may be involved in lipid metabolism and provided evidence for elucidating the regulatory mechanism of lipid homeostasis.