Metastatic prostate cancer remains a major clinical challenge and metastatic lesions are highly heterogeneous and difficult to biopsy. Liquid biopsy provides opportunities to gain insights into the underlying biology. Here, using the highly sensitive enrichment-based sequencing technology, we provide analysis of 60 and 175 plasma DNA methylomes from patients with localized and metastatic prostate cancer, respectively. We show that the cell-free DNA methylome can capture variations beyond the tumor. A global hypermethylation in metastatic samples is observed, coupled with hypomethylation in the pericentromeric regions. Hypermethylation at the promoter of a glucocorticoid receptor gene NR3C1 is associated with a decreased immune signature. The cell-free DNA methylome is reflective of clinical outcomes and can distinguish different disease types with 0.989 prediction accuracy. Finally, we show the ability of predicting copy number alterations from the data, providing opportunities for joint genetic and epigenetic analysis on limited biological samples.