Integrative approaches that harness large-scale molecular datasets can help develop mechanistic insight into findings from genome-wide association studies (GWAS). We have performed extensive analyses to uncover transcriptional and epigenetic processes which may play a role in complex trait variation. This was undertaken by applying Bayesian multiple-trait colocalization systematically across the genome to identify genetic variants responsible for influencing intermediate molecular phenotypes as well as complex traits. In this analysis, we leveraged high-dimensional quantitative trait loci data derived from the prefrontal cortex tissue (concerning gene expression, DNA methylation and histone acetylation) and GWAS findings for five complex traits (Neuroticism, Schizophrenia, Educational Attainment, Insomnia and Alzheimer’s disease). There was evidence of colocalization for 118 associations, suggesting that the same underlying genetic variant influenced both nearby gene expression as well as complex trait variation. Of these, 73 associations provided evidence that the genetic variant also influenced proximal DNA methylation and/or histone acetylation. These findings support previous evidence at loci where epigenetic mechanisms may putatively mediate effects of genetic variants on traits, such as KLC1 and schizophrenia. We also uncovered evidence implicating novel loci in disease susceptibility, including genes expressed predominantly in the brain tissue, such as MDGA1, KIRREL3 and SLC12A5. An inverse relationship between DNA methylation and gene expression was observed more than can be accounted for by chance, supporting previous findings implicating DNA methylation as a transcriptional repressor. Our study should prove valuable in helping future studies prioritize candidate genes and epigenetic mechanisms for in-depth functional follow-up analyses.