Previously, we showed that a massively parallel reporter assay, mSTARR-seq, could be used to simultaneously test for both enhancer-like activity and DNA methylation-dependent enhancer activity for millions of loci in a single experiment (Lea et al., 2018). Here, we apply mSTARR-seq to query nearly the entire human genome, including almost all CpG sites profiled either on the commonly used Illumina Infinium MethylationEPIC array or via reduced representation bisulfite sequencing. We show that fragments containing these sites are enriched for regulatory capacity, and that methylation-dependent regulatory activity is in turn sensitive to the cellular environment. In particular, regulatory responses to interferon alpha (IFNA) stimulation are strongly attenuated by methyl marks, indicating widespread DNA methylation-environment interactions. In agreement, methylation-dependent responses to IFNA identified via mSTARR-seq predict methylation-dependent transcriptional responses to challenge with influenza virus in human macrophages. Our observations support the idea that pre-existing DNA methylation patterns can influence the response to subsequent environmental exposures—one of the tenets of biological embedding. However, we also find that, on average, sites previously associated with early life adversity are not more likely to functionally influence gene regulation than expected by chance.