Evidence links pluripotency to a gene regulatory network organized by the transcription factors Oct4, Nanog and Sox2. Expression of these genes is controlled by epigenetic modifications on regulatory regions. However, little is known on profiles of trimethylated H3 lysine residues on coding regions of these genes in pluripotent and differentiated cells, and on the interdependence between promoter and exon occupancy of modified H3. Here, we determine how H3K9, H3K27, H3K36 and H3K79 methylation profiles on exons of OCT4, NANOG and SOX2 correlate with expression and promoter occupancy. Expression of OCT4, SOX2 and NANOG in embryonal carcinoma cells is associated with a looser chromatin configuration than mesenchymal progenitors or fibroblasts, determined by H3 occupancy. Promoter H3K27 trimethylation extends into the first exon of repressed OCT4, NANOG and SOX2, while H3K9me3 occupies the first exon of these genes irrespective of expression. Both H3K36me3 and H3K79me3 are enriched on exons of expressed genes, yet with a distinct pattern: H3K36me3 increases towards the 3' end of genes, while H3K79me3 is preferentially enriched on first exons. Down-regulation of the H3K36 methyltransferase SetD2 by siRNA causes global and gene-specific H3K36 demethylation and global H3K27 hypermethylation; however it does not affect promoter levels of H3K27me3, suggesting for the genes examined independence of occupancy of H3K27me3 on promoters and H3K36me3 on exons. mRNA levels are however affected, raising the hypothesis of a role of SetD2 on transcription elongation and/or termination.