The human leukocyte antigen (HLA) haplotype DRB1*15:01 is the major risk factor for multiple sclerosis (MS). Here, we find that DRB1*15:01 is hypomethylated and predominantly expressed in monocytes among carriers of DRB1*15:01. A differentially methylated region (DMR) encompassing HLA-DRB1 exon 2 is particularly affected and displays methylation-sensitive regulatory properties in vitro. Causal inference and Mendelian randomization provide evidence that HLA variants mediate risk for MS via changes in the HLA-DRB1 DMR that modify HLA-DRB1 expression. Meta-analysis of 14,259 cases and 171,347 controls confirms that these variants confer risk from DRB1*15:01 and also identifies a protective variant (rs9267649, p < 3.32 × 10-8, odds ratio = 0.86) after conditioning for all MS-associated variants in the region. rs9267649 is associated with increased DNA methylation at the HLA-DRB1 DMR and reduced expression of HLA-DRB1, suggesting a modulation of the DRB1*15:01 effect. Our integrative approach provides insights into the molecular mechanisms of MS susceptibility and suggests putative therapeutic strategies targeting a methylation-mediated regulation of the major risk gene.