The search for the hereditary mechanisms underlying quantitative traits traditionally focused on the identification of underlying genomic polymorphisms such as single-nucleotide polymorphisms. It has now become clear that epigenetic mechanisms, such as DNA methylation, can consistently alter gene expression over multiple generations. It is unclear, however, if and how DNA methylation can stably be transferred from one generation to the next and can thereby be a component of the heritable variation of a trait. In this study, we explore whether DNA methylation responds to phenotypic selection using whole-genome and genome-wide bisulfite approaches. We assessed differential erythrocyte DNA methylation patterns between extreme personality types in the Great Tit (Parus major). For this, we used individuals from a four-generation artificial bi-directional selection experiment and siblings from eight F2 inter-cross families. We find no differentially methylated sites when comparing the selected personality lines, providing no evidence for the so-called epialleles associated with exploratory behavior. Using a pair-wise sibling design in the F2 intercrosses, we show that the genome-wide DNA methylation profiles of individuals are mainly explained by family structure, indicating that the majority of variation in DNA methylation in CpG sites between individuals can be explained by genetic differences. Although we found some candidates explaining behavioral differences between F2 siblings, we could not confirm this with a whole-genome approach, thereby confirming the absence of epialleles in these F2 intercrosses. We conclude that while epigenetic variation may underlie phenotypic variation in behavioral traits, we were not able to find evidence that DNA methylation can explain heritable variation in personality traits in Great Tits.