Pigmentation characteristics are well-known risk factors for skin cancer. Polymorphisms in pigmentation genes have been associated with these traits and with the risk of malignancy. However, the functional relationship between genetic variation and disease is still unclear. This study aims to assess whether pigmentation SNPs are associated with pigmentary traits and skin cancer via DNA methylation (DNAm). Using a meta-GWAS of whole-blood DNAm from 36 European cohorts (N = 27,750; the Genetics of DNA Methylation Consortium, GoDMC), we found that 19 out of 27 SNPs in 10 pigmentation genes were associated with 391 DNAm sites across 30 genomic regions. We examined the effect of 25 selected DNAm sites on pigmentation traits, sun exposure phenotypes and skin cancer and on gene expression in whole blood. We uncovered an association of DNAm site cg07402062 with red hair in the Avon Longitudinal Study of Parents and Children (ALSPAC). We also found that the expression of ASIP and CDK10 was associated with hair colour, melanoma and basal cell carcinoma. Our results indicate that DNAm and expression of pigmentation genes may play a role as potential mediators of the relationship between genetic variants, pigmentation phenotypes and skin cancer and thus deserve further scrutiny.