Epigenetic regulation of gene transcription may play a critical role in the onset of puberty. Previous studies have confirmed that methylation regulates gene transcription in the hypothalamus-pituitary-gonadal axis during puberty initiation, but little is known about the regulation of DNA methylation on gene expression in the pineal gland. This study aims to screen pineal gland candidate genes related to the onset of goat puberty and regulated by genome methylation, to clarify the initiation mechanism of goat puberty and lay the foundation for improving goat reproductive performance. Pineal gland was collected from three female Anhui white goats during prepuberty (2.5 to 3.0 mo) and three during puberty (4.0 to 4.5 mo). Genome-wide hydrogen sulfite sequencing determined the DNA methylation profile, while RNA sequencing determined the transcriptome. The relationship between gene transcription and DNA methylation was determined by joint analysis. We found that there was no significant change in the whole genome methylation level of goat pineal gland before and after puberty, but the methylation pattern changed significantly, indicating that genomic DNA methylation of the pineal gland may be involved in regulating goat puberty initiation. Changes in DNA methylation patterns affected some pineal gland transcriptomes, while the transcriptional level of most genes was not affected by DNA methylation differences. Genes regulated by DNA methylation were mainly involved in metabolic processes, oxidative phosphorylation (OXPHOS), and signaling pathways related to thermogenesis. The differential genes ATP5F1D, CACNB2, and PTEN were significantly regulated by methylation, and the difference multiples of LIN28B, GIP, OPN1SW, and DCC were the most significant, possibly involved in puberty initiation. Overall design: The cunnus of pubertal goats was inflamed, with histological observation of some mature follicles in the ovaries. The goats were euthanized and their pineal gland were quickly collected. All the pineal glands sample were quickly frozen in liquid nitrogen for RNA and DNA methylation sequencing analysis. This dataset represents DNA methylation sequencing analysis.