Introduction DNA methylation may be one of the biological mechanisms underlying the health benefits of physical activity (PA). Our objective was to determine the association between PA and genome-wide DNA methylation at CpG level. Methods We designed a two-stage epigenome wide association study. In the discovery stage, we used 619 individuals from the REgistre GIroní del COR cohort. Next, we validated the CpG suggestively associated with PA (P < 10-5) in two independent populations (n = 1735 and 190, respectively). Physical activity was assessed with validated questionnaires and classified as light PA (LPA), moderate PA, vigorous PA, moderate-vigorous PA (MVPA) and total PA. We examined linear and nonlinear associations and meta-analyzed the results in the three populations. The linear associations were meta-analyzed with a fixed-effects model and the P values of the nonlinear associations with the Stouffer and Fisher methods. We established a P value threshold that fulfilled Bonferroni criteria over the number of CpG analyzed (0.05/421,940 = 1.185 × 10-7). Results In the meta-analyses, two CpG sites had a statistically significant nonlinear association with MVPA. cg24155427 (P = 1.19 × 10-9), located in an intergenic region in chromosome 1, has been previously associated with smoking, lupus, and aging. cg09565397 (P = 1.59 × 10-7), located within DGAT1 in chromosome 8, which encodes an enzyme involved in triacylglycerol synthesis. Conclusions This population-based study identified two new, differentially methylated CpG sites with a nonlinear dose-response relationship to MVPA. These associations must be additionally validated and may be considered for further research on the biological mechanisms underlying health benefits of PA.