Smoking increases the risk of many diseases and could act through changes in DNA methylation patterns. The aims of this study were to determine the association between smoking and DNA methylation throughout the genome at cytosine-phosphate-guanine (CpG) site level and genomic regions. A discovery cross-sectional epigenome-wide association study nested in the follow-up of the REGICOR cohort was designed and included 645 individuals. Blood DNA methylation was assessed using the Illumina HumanMethylation450 BeadChip. Smoking status was self-reported using a standardized questionnaire. We identified 66 differentially methylated CpG sites associated with smoking, located in 38 genes. In most of these CpG sites, we observed a trend among those quitting smoking to recover methylation levels typical of never smokers. A CpG site located in a novel smoking-associated gene (cg06394460 in LNX2) was hypomethylated in current smokers. Moreover, we validated two previously reported CpG sites (cg05886626 in THBS1, and cg24838345 in MTSS1) for their potential relation to atherosclerosis and cancer diseases, using several different approaches: CpG site methylation, gene expression, and plasma protein level determinations. Smoking was also associated with higher THBS1 gene expression but with lower levels of thrombospondin-1 in plasma. Finally, we identified differential methylation regions in 13 genes and in four non-coding RNAs. In summary, this study replicated previous findings and identified and validated a new CpG site located in LNX2 associated with smoking.