Multiple system atrophy (MSA) is a rare disease with a fatal outcome. To date, little is known about the molecular processes underlying disease development. Its clinical overlap with related neurodegenerative movement disorders underlines the importance for expanding the knowledge of pathological brain processes in MSA patients to improve distinction from similar diseases. In the current study, we investigated DNA methylation changes in brain samples from 41 MSA patients and 37 healthy controls. We focused on the prefrontal cortex, a moderately affected area in MSA. Using Illumina MethylationEPIC arrays, we investigated 5-methylcytosine (5mC) as well as 5-hydroxymethylcytosine (5hmC) changes throughout the genome. We identified five significantly different 5mC probes (adj. P < 0.05), of which one probe mapping to the AREL1 gene involved in antigen presentation was decreased in MSA patients. This decrease correlated with increased 5hmC levels. Further, we identified functional DNA methylation modules involved in inflammatory processes. As expected, the decreased 5mC levels on AREL1 was concordant with increased gene expression levels of both AREL1 as well as MHC Class I HLA genes in MSA brains. We also investigated whether these changes in antigen-related processes in the brain associated with changes in peripheral mononuclear cells. Using flow cytometry on an independent cohort of MSA patients, we identified a decrease in circulating non-classical CD14⁺CD16⁺⁺ blood monocytes, whereas T and NK cell populations were unchanged. Taken together, our results support the view of an active neuroimmune response in brains of MSA patients.