Background: Bladder cancer (BC) development is highly related to immune cell infiltration and inflammation. This study aimed to construct a new classification of bladder cancer (BC) molecular subtypes based on immune cells-associated CpG sites. Methods: The genes of 28 types of immune cells were obtained from previous studies. Then methylation sites corresponding to immune cells-associated genes were acquired. Differentially methylation sites (DMSs) were identified between normal samples and bladder cancer samples. Unsupervised clustering analysis of differentially methylation sites was performed to divide into several subtypes. Then the potential mechanism of different subtypes was exploded. Result: Bladder cancer patients were divided into three groups. Cluster 3 (methylation-L) subtype had the best prognosis. Cluster 1 (methylation-M) had the worst prognosis. The distribution of immune cells, level expression of checkpoints, stromal score, immune score, ESTIMATEScore, tumor purity, APC_co_inhibition, APC_co_stimulation, HLA, MHC_class_I, Type_I_IFN_Reponse, and Type_II_IFN_Reponse were significant difference among three subgroups. The distribution of genomic alterations was different among them. Conclusion: The classification was accurate and stable. BC patients could be divided into three subtypes based on the immune cells-associated CpG sites. Specific biological signaling pathways, immune mechanisms, and genomic alterations were various among three subgroups. High level immune infiltration was a correlation with high level methylation. The lower RNAss score was associated with higher immune infiltration and higher level expression of CD274.