How individuals respond to and cope with stress is linked with their health and well-being. It is presumed that early stress responsiveness helps shape the health of the developing organism, but the relationship between stress responsiveness and early immune function during development is not well-known. We hypothesized that stress responsiveness may shape epigenetic regulation of immune genes in infancy. We investigated whether aspects of behavioral responsiveness and hypothalamic-pituitary adrenal stress-response were associated with epigenome-wide immune cell DNA methylation patterns in 154 infant rhesus monkeys (3-4 months old). Infants' behavioral and physiological responses were collected during a standardized biobehavioral assessment, which included temporary relocation and separation from their mother and social group. Genome-wide DNA methylation was quantified using restricted representation bisulfite sequencing (RRBS) from blood DNA collected 2-hours post-separation. Epigenome-wide analyses were conducted using simple regression, multiple regression controlling for immune cell counts, and permutation regression, all corrected for false discovery rate. Across the variables analyzed, there were 20,368 unique sites (in 9,040 genes) at which methylation was significantly associated with at least one behavioral responsiveness or cortisol measure across the three analyses. There were significant associations in 442 genes in the Immune System Process ontology category, and 94 genes in the Inflammation mediated by chemokine and cytokine signaling gene pathway. Out of 35 candidate genes that were selected for further investigation, there were 13 genes with at least one site at which methylation was significantly associated with behavioral responsiveness or cortisol, including two intron sites in the glucocorticoid receptor gene, at which methylation was negatively correlated with emotional behavior the day following the social separation (Day 2 Emotionality; β = -0.39, q < 0.001) and cortisol response following a relocation stressor (Sample 1; β = -0.33, q < 0.001). We conclude that biobehavioral stress responsiveness may correlate with the developing epigenome, and that DNA methylation of immune cells may be a mechanism by which patterns of stress response affect health and immune functioning.