Epigenome-wide association studies (EWAS) aim to identify differentially methylated loci associated with complex traits and disorders. EWAS of cigarette smoking shows some of the most widespread DNA methylation (DNAm) associations in blood. However, traditional EWAS cannot differentiate between causation and confounding, leading to ambiguity in etiological interpretations. Here, we apply an integrated approach combining Mendelian Randomization and twin-based Direction-of-Causation analyses (MR-DoC) to examine causality underlying smoking-associated blood DNAm changes in the Netherlands Twin Register (N=2577). Evidence across models suggests that current smoking's causal effects on DNAm likely drive many of the previous EWAS findings, implicating functional pathways relevant to several adverse health outcomes of smoking, including hemopoiesis, cell- and neuro-development, and immune regulation. Additionally, we find evidence of potential reverse causal influences at some DNAm sites, with 17 of these sites enriched for gene regulatory functional elements in the brain. The top three sites with evidence of DNAm's effects on smoking annotate to genes involved in G protein-coupled receptor signaling (GNG7, RGS3) and innate immune response (SLC15A4), elucidating potential biological risk factors for smoking. This study highlights the utility of integrating genotypic and DNAm measures in twin cohorts to clarify the causal relationships between health behaviors and blood DNAm.