This study aims to analyze the whole-genome DNA methylation differences in Yili horses before and after racing, with the goal of identifying differentially methylated genes associated with racing performance and exploring the epigenetic mechanisms underlying exercise in horses. Blood samples were collected from the jugular veins of the top 3 Yili horses in a 5000 m race, which included 25 competitors, both prior to and within 5 min after the race. Genomic DNA was extracted, followed by sequencing using Whole-Genome Bisulfite Sequencing (WGBS) to assess DNA methylation levels, differentially methylated regions (DMRs), and differentially methylated genes (DMGs). Gene Ontology (GO) and Kyoto Encyclopedia of Genes and Genomes (KEGG) pathway enrichment analyses were performed on the identified DMGs to select candidate genes potentially associated with equine exercise. A total of 18,374 differentially methylated CG regions, 254 differentially methylated CHG regions, and 584 differentially methylated CHH regions were identified. A total of 4293 DMGs were anchored in gene bodies and 2187 DMGs in promoter regions. Functional analysis revealed that these DMGs were mainly enriched in terms related to binding and kinase activity, as well as pathways such as PI3K-Akt signaling and Kaposi sarcoma-associated herpesvirus infection. Further analysis indicated that genes such as