The association between cigarette smoking and inflammation is well known. However, the biological mechanisms behind the association are not fully understood, particularly, the role of deoxyribonucleic acid (DNA) methylation, which is known to be affected by smoking. Using two-step epigenetic Mendelian randomization, we investigated the role of DNA methylation in the association between cigarette smoking and inflammation. In 822 African Americans from the Genetic Epidemiology Network of Arteriopathy Phase II (Jackson, Mississippi; 2000-2005) study population, we examined the effect of cigarette smoking on DNA methylation using single nucleotide polymorphisms identified in previous genome-wide association studies of cigarette smoking. We then investigated the effect of DNA methylation on inflammatory marker levels using cis-methylation quantitative trait loci single nucleotide polymorphisms. We found that current smoking status had an effect on DNA methylation levels of cg03636183 in the Coagulation Factor II (thrombin) Receptor-Like 3 (F2RL3) gene (−0.64, 95% CI = (−0.84,−0.45)), and of cg19859270 in the G Protein-Coupled Receptor 15 (GPR15) gene (−0.21, 95% CI = (−0.27,−0.15)). DNA methylation levels of cg03636183 in F2RL3 had an effect on interleukin-18 (IL-18) levels (−0.11, 95% CI = (−0.19,−0.04)). These combined negative effects suggest that cigarette smoking increases IL-18 levels through the decrease in DNA methylation levels of cg03636183 in F2RL3.