Background Hypothalamic–pituitary–adrenal (HPA) axis functioning has been implicated in the development of stress‐related psychiatric diagnoses and response to adverse life experiences. This study aimed to investigate the association between genetic and epigenetics in HPA axis and response to cognitive behavior therapy (CBT). Methods Children with anxiety disorders were recruited into the Genes for Treatment project (GxT, N = 1,152). Polymorphisms of FKBP5 and GR were analyzed for association with response to CBT. Percentage DNA methylation at the FKBP5 and GR promoter regions was measured before and after CBT in a subset (n = 98). Linear mixed effect models were used to investigate the relationship between genotype, DNA methylation, and change in primary anxiety disorder severity (treatment response). Results Treatment response was not associated with FKBP5 and GR polymorphisms, or pretreatment percentage DNA methylation. However, change in FKBP5 DNA methylation was nominally significantly associated with treatment response. Participants who demonstrated the greatest reduction in severity decreased in percentage DNA methylation during treatment, whereas those with little/no reduction in severity increased in percentage DNA methylation. This effect was driven by those with one or more FKBP5 risk alleles, with no association seen in those with no FKBP5 risk alleles. No significant association was found between GR methylation and response. Conclusions Allele‐specific change in FKBP5 methylation was associated with treatment response. This is the largest study to date investigating the role of HPA axis related genes in response to a psychological therapy. Furthermore, this is the first study to demonstrate that DNA methylation changes may be associated with response to psychological therapies in a genotype‐dependent manner.