Simple Summary Prostate cancer is a major cause of cancer-related death in men worldwide. There is an urgent clinical need for improved prognostic biomarkers to better predict the likely outcome and course of the disease and thus inform the clinical management of these patients. Currently, clinically recognised prognostic markers lack sensitivity and specificity in distinguishing aggressive from indolent disease, particularly in patients with localised, intermediate grade prostate cancer. Thus, there is major interest in identifying new molecular biomarkers to complement existing standard clinicopathological markers. DNA methylation is a frequent alteration in the cancer genome and offers potential as a reliable and robust biomarker. In this review, we provide a comprehensive overview of the current state of DNA methylation biomarker studies in prostate cancer prognosis. We highlight advances in this field that have enabled the discovery of novel prognostic genes and discuss the potential of methylation biomarkers for noninvasive liquid-biopsy testing. There is a major clinical need for accurate biomarkers for prostate cancer prognosis, to better inform treatment strategies and disease monitoring. Current clinically recognised prognostic factors, including prostate-specific antigen (PSA) levels, lack sensitivity and specificity in distinguishing aggressive from indolent disease, particularly in patients with localised intermediate grade prostate cancer. There has therefore been a major focus on identifying molecular biomarkers that can add prognostic value to existing markers, including investigation of DNA methylation, which has a known role in tumorigenesis. In this review, we will provide a comprehensive overview of the current state of DNA methylation biomarker studies in prostate cancer prognosis, and highlight the advances that have been made in this field. We cover the numerous studies into well-established candidate genes, and explore the technological transition that has enabled hypothesis-free genome-wide studies and the subsequent discovery of novel prognostic genes.