Embryonic Stem Cells (ESCs) and Epiblast Stem Cells (EpiSCs) are the in vitro representatives of naïve and primed pluripotency, respectively. It is currently unclear how their epigenomes underpin the phenotypic and molecular characteristics of these distinct pluripotent states. Here, we performed a genome-wide comparison of DNA methylation between ESCs and EpiSCs by MethylCap-Seq. We observe that promoters are preferential targets for methylation in EpiSC compared to ESCs, in particular high CpG island promoters. This is in line with upregulation of the de novo methyltransferases Dnmt3a1 and Dnmt3b in EpiSC, and downregulation of the demethylases Tet1 and Tet2. Remarkably, the observed DNA methylation signature is specific to EpiSCs and differs from that of their in vivo counterpart, the post-implantation epiblast. Using a subset of promoters that are differentially methylated, we show that DNA methylation is established within a few days during in vitro outgrowth of the epiblast, and also occurs when ESCs are converted to EpiSCs in vitro. Once established, this methylation is stable, as ES-like cells obtained by in vitro reversion of EpiSCs display an epigenetic memory that only extensive passaging and sub-cloning are able to almost completely erase.