Epigenetic inheritance is a potential mechanism by which the environment in one generation can influence the performance of future generations1. Rapid climate change threatens the survival of many organisms; however, recent studies show that some species can adjust to climate-related stress when both parents and their offspring experience the same environmental change2,3. Whether such transgenerational acclimation could have an epigenetic basis is unknown. Here, by sequencing the liver genome, methylomes and transcriptomes of the coral reef fish, Acanthochromis polyacanthus, exposed to current day (+0 °C) or future ocean temperatures (+3 °C) for one generation, two generations and incrementally across generations, we identified 2,467 differentially methylated regions (DMRs) and 1,870 associated genes that respond to higher temperatures within and between generations. Of these genes, 193 were significantly correlated to the transgenerationally acclimating phenotypic trait, aerobic scope, with functions in insulin response, energy homeostasis, mitochondrial activity, oxygen consumption and angiogenesis. These genes may therefore play a key role in restoring performance across generations in fish exposed to increased temperatures associated with climate change. Our study is the first to demonstrate a possible association between DNA methylation and transgenerational acclimation to climate change in a vertebrate.