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The role of DNA methylation of breast cancer-infiltrating immune cells has not been fully explored. We conducted a cohort-based retrospective study analyzing the genome-wide immune-related DNA methylation of 1057 breast cancer patients from the TCGA cohort and GSE72308 cohort. Based on patients’ overall survival (OS), a prognostic risk score system using 18 immune-related methylation genes (IRMGs) was established and further validated in an independent cohort. Kaplan–Meier analysis showed a clear separation of OS between the low- and high-risk groups. Patients in the low-risk group had a higher immune score and stromal score compared with the high-risk group. Moreover, the characteristics based on 18-IRMGs signature were related to the tumor immune microenvironment and affected the abundance of tumor-infiltrating immune cells. Consistently, the 18-IRMGs signatures showed similar influences on immune modulation and survival in another external validation cohort (GSE72308). In conclusion, the proposed 18-IRMGs signature could be a potential marker for breast cancer prognostication.