Inherited genetic variation impacts local gene expression and DNA methylation in humans. Expression and methylation quantitative trait loci (cis-eQTLs and cis-mQTLs) often occur at the same genomic location, suggesting a common causal variant and shared mechanism. Using DNA and RNA from peripheral blood of Bangladeshi individuals, we use co-localization methods to identify 3,695 eQTL-mQTL pairs that are likely to share a causal variant. Using partial correlation analysis and mediation analysis, we identify >500 pairs with evidence of a causal relationships between expression and methylation (i.e., shared mechanism) with many additional pairs that we are underpowered to detect. These co-localized pairs are enriched for SNPs showing opposite effects on expression and methylation, although a many affect multiple CpGs in opposite directions. Evidence of shared SNP-age interaction also supports shared mechanisms for two eQTL-mQTL pairs. This work demonstrates the pervasiveness of co-regulated expression and methylation traits in the human genome. This approach can be applied to other types of molecular QTLs to enhance our understanding of regulatory mechanisms.