Sperm DNA methylation is crucial for fertility and viability of offspring but epigenome evolution in mammals is largely understudied. By comparing sperm DNA methylomes and large-scale genome-wide association study (GWAS) signals between human and cattle, we aimed to examine the DNA methylome evolution and its associations with complex phenotypes in mammals. Our analysis revealed that genes with conserved non-methylated promoters (e.g., ANKS1A and WNT7A) among human and cattle were involved in common system and embryo development, and enriched for GWAS signals of body conformation traits in both species, while genes with conserved hypermethylated promoters (e.g., TCAP and CD80) were engaged in immune responses and highlighted by immune-related traits. On the other hand, genes with human-specific hypomethylated promoters (e.g., FOXP2 and HYDIN) were engaged in neuron system development and enriched for GWAS signals of brain-related traits, while genes with cattle-specific hypomethylated promoters (e.g., LDHB and DGAT2) mainly participated in lipid storage and metabolism. We validated our findings using sperm-retained nucleosome, preimplantation transcriptome, and adult tissue transcriptome data, as well as sequence evolutionary features, including motif binding sites, mutation rates, recombination rates and evolution signatures. In conclusion, our results demonstrate important roles of epigenome evolution in shaping the genetic architecture underlying complex phenotypes, hence enhance signal prioritization in GWAS and provide valuable information for human neurological disorders and livestock genetic improvement.