Populations undergoing range expansions are often faced with novel selective pressures, and to cope with such challenges, populations must either adapt quickly or exhibit phenotypic plasticity. This latter option allows for rapid phenotypic adjustments and persistence in novel environments, and thus could be advantageous at range‐edges. Our previous research on house sparrows in Kenya—a site of ongoing range expansion— and a growing literature suggests that invasion success is facilitated by epigenetic regulation of gene expression. Previously, we found (i) differences in the expression of a microbial surveillance gene (i.e. Toll‐like receptor 4—TLR4), and (ii) extensive variation in genome‐wide DNA methylation among house sparrows across Kenya. Here, our goal was to investigate whether these two observations are related, specifically whether DNA methylation within a target sequence upstream of the TLR4 transcription start site is associated with variation in TLR4 expression. We found that DNA methylation in the aforementioned region was quite variable among individuals, and variation at one CpG site predicted differences in TLR4 expression. Moreover, we found genetic variation within the same sequence upstream of the TLR4 exon, but this variation did not predict TLR4 expression. To our knowledge, this is the first study to demonstrate an association between DNA methylation and the expression of an ecologically relevant trait in a range‐expanding vertebrate.