Although cognitive remediation therapy (CRT) produces cognitive benefits in schizophrenia, we do not yet understand whether molecular changes are associated with this cognitive improvement. A gene central to synaptic plasticity, the BDNF, has been proposed as one potential route. This study assesses whether BDNF methylation changes following CRT-produced cognitive improvement are detected. A randomized and controlled trial was performed with two groups (CRT, n = 40; TAU: Treatment as Usual, n = 20) on a sample of participants with schizophrenia. CRT was delivered by trained therapists using a web-based computerized program. Mixed Models, where the interaction of treatment (CRT, TAU) by time (T0: 0 weeks, T1: 16 weeks) was the main effect were used. Then, we tested the association between the treatment and methylation changes in three CpG islands of the BDNF gene. CRT group showed significant improvements in some cognitive domains. Between-groups differential changes in 5 CpG units over time were found, 4 in island 1 (CpG1.2, CpG1.7, CpG1.10, CpG1.17) and 1 in island 3 (CpG3.2). CRT group showed increases in methylation in CpG1.2, CpG1.7 and decreases in pG1.10, CpG1.17, and CpG3.2. Differences in the degree of methylation were associated with changes in Speed of Processing, Working Memory, and Verbal Learning within the CRT group. Those findings provide new data on the relationship between cognitive improvement and changes in peripheral methylation levels of BDNF gene, a key factor involved in neuroplasticity regulation.