Physical exercise has proven cardiovascular benefits yet there is no clear understanding of the related molecular mechanisms leading to this. Here we determined the beneficial epigenetic effects of exercise after sprint interval training, a form of exercise known to improve cardio-metabolic health. We quantified genome-wide leukocyte DNA methylation of 12 healthy young (18-24 y) men before and after four weeks (thrice weekly) of sprint interval training using the 450K BeadChip (Illumina) and validated gene expression changes in an extra seven subjects. Exercise increased subjects' cardio-respiratory fitness, maximal running performance and decreased LDL-cholesterol concentration in conjunction with genome-wide DNA methylation changes. Notably, many CpG island and gene promoter regions were demethylated after exercise, indicating increased genome-wide transcriptional changes. Amongst genes with DNA methylation changes, epidermal growth factor (EGF), a ligand of the epidermal growth factor receptor known to be involved in cardiovascular disease, was demethylated and showed decreased mRNA expression. Additionally, we found that microRNA-21 and microRNA-210 gene DNA methylation were altered by exercise causing a cascade effect on the expression of the mature microRNA involved in cardiovascular function. Our findings demonstrate that exercise alters DNA methylation in circulating blood cells in genes and microRNAs associated with cardiovascular physiology.