Epigenetic variation modulates gene expression and can be heritable. However, knowledge of the contribution of epigenetic divergence to adaptive diversification in nature remains limited. The massive evolutionary radiation of Lake Malawi cichlid fishes displaying extensive phenotypic diversity despite extremely low sequence divergence is an excellent system to study the epigenomic contribution to adaptation. Here, we present a comparative genome-wide methylome and transcriptome study, focussing on liver and muscle tissues in phenotypically divergent cichlid species. In both tissues we find substantial methylome divergence among species. Differentially methylated regions (DMR), enriched in evolutionary young transposons, are associated with transcription changes of ecologically-relevant genes related to energy expenditure and lipid metabolism, pointing to a link between dietary ecology and methylome divergence. Unexpectedly, half of all species-specific DMRs are shared across tissues and are enriched in developmental genes, likely reflecting distinct epigenetic developmental programmes. Our study reveals substantial methylome divergence in closely-related cichlid fishes and represents a resource to study the role of epigenetics in species diversification.