Mouse embryonic stem cells (ESCs) can be maintained in a primed pluripotent state characterized by dynamic transcriptional heterogeneity. Using single-cell bisulphite sequencing (scBS-seq), we have recently demonstrated that DNA methylation is also heterogeneous in ESCs (1), suggesting that epigenetic mechanisms may contribute to transcriptional heterogeneity. We now employ scBS-seq and parallel single-cell methylome and transcriptome sequencing (scM&T-seq, 2) to investigate the regulation of DNA methylation variance, and the relationship between transcriptional and epigenetic heterogeneity. Increased DNA methylation variance is specific to enhancers in the primed pluripotent state, suggesting that epigenetic heterogeneity at distal regulatory elements may contribute to ESC transcriptional heterogeneity. In ESCs lacking either Tet1/2 or Dnmt3a/b enzymes, DNA methylation heterogeneity is abolished, demonstrating that turnover of DNA methylation generates heterogeneity. Consistently, differentiation of ESCs into embryoid bodies is associated with down-regulation of Dnmt3a/b and Tet1/2 enzymes and loss of DNA methylation heterogeneity. While transcriptional heterogeneity in ESCs has been described as stochastic switching between discrete states, we show that DNA methylation heterogeneity at enhancers is manifest as a continuous spectrum and is restricted to the ‘more pluripotent’ sub-population of the primed pluripotent cells. Thus, we demonstrate qualitative differences between epigenetic and transcriptional heterogeneity and show that scM&T-seq can link distinct types of heterogeneity.