Cytology-based screening for invasive cervical cancer (ICC) lacks sensitivity and specificity to discriminate between cervical intraepithelial neoplasia (CIN) likely to persist or progress from cases likely to resolve. Genome-wide approaches have been used to identify DNA methylation marks associated with CIN persistence or progression. However, associations between DNA methylation marks and CIN or ICC remain weak and inconsistent. Between 2008–2009, we conducted a hospital-based, case-control study among 213 Tanzania women with CIN 1/2/3 or ICC. We collected questionnaire data, biopsies, peripheral blood, cervical scrapes, Human papillomavirus (HPV) and HIV-1 infection status. We assessed PEG3 methylation status by bisulfite pyrosequencing. Multinomial logistic regression was used to estimate odds ratios (OR) and confidence intervals (CI 95%) for associations between PEG3 methylation status and CIN or ICC. After adjusting for age, gravidity, hormonal contraceptive use and HPV infection, a 5% increase in PEG3 DNA methylation was associated with increased risk for ICC (OR = 1.6; 95% CI 1.2–2.1). HPV infection was associated with a higher risk of CIN1-3 (OR = 15.7; 95% CI 5.7–48.6) and ICC (OR = 29.5, 95% CI 6.3–38.4). Infection with high risk HPV was correlated with mean PEG3 differentially methylated regions (DMRs) methylation (r = 0.34 p<0.0001), while the correlation with low risk HPV infection was weaker (r = 0.16 p = 0.047). Although small sample size limits inference, these data support that PEG3 methylation status has potential as a molecular target for inclusion in CIN screening to improve prediction of progression.