Humans display remarkable interindividual variation in their immune response to identical challenges. Yet, our understanding of the genetic and epigenetic factors contributing to such variation remains limited. Here we performed in-depth genetic, epigenetic and transcriptional profiling on primary macrophages derived from individuals of European and African ancestry before and after infection with influenza A virus. We show that baseline epigenetic profiles are strongly predictive of the transcriptional response to influenza A virus across individuals. Quantitative trait locus (QTL) mapping revealed highly coordinated genetic effects on gene regulation, with many cis-acting genetic variants impacting concomitantly gene expression and multiple epigenetic marks. These data reveal that ancestry-associated differences in the epigenetic landscape can be genetically controlled, even more than gene expression. Lastly, among QTL variants that colocalized with immune-disease loci, only 7% were gene expression QTL, while the remaining genetic variants impact epigenetic marks, stressing the importance of considering molecular phenotypes beyond gene expression in disease-focused studies.