Principal component analysis (PCA) is a widely used technique for dimensionality reduction and visualization in genomics, where the number of dimensions can be thousands or even hundreds of thousands. However, since each principal component (PC) is a linear combination of original dimensions, the meaning of the new dimensions can be hard to interpret. For PCA of DNA methylation data, the cytosines which are the original dimensions may not have a clear biological annotation, further hindering interpretation. Currently, there is a lack of methods for interpreting PCs of DNA methylation data. We present a method which annotates PCs using sets of genomic regions corresponding to a given biological annotation, such as transcription factor binding or histone modifications. We tested the method on DNA methylation data from breast cancer, confirming known associations, and data from the rare childhood cancer Ewing sarcoma, discovering novel associations. Our method is computationally efficient, scales well with increasing number of samples, and will fit well into existing analysis workflows. This method will be broadly useful to help researchers understand variation in DNA methylation among samples.