(1) Introduction: Epigenetic changes have been proposed as a biologic link between in-utero exposure to maternal smoking and health outcomes. Therefore, we examined if in-utero exposure to maternal smoking was associated with infant DNA methylation (DNAm) of cytosine-phosphate-guanine dinucleotides (CpG sites) in the arginine vasopressin receptor 1A AVPR1a gene. The AVPR1a gene encodes a receptor that interacts with the arginine vasopressin hormone and may influence physiological stress regulation, blood pressure, and child development. (2) Methods: Fifty-two infants were included in this cohort study. Multivariable linear models were used to examine the effect of in-utero exposure to maternal smoking on the mean DNAm of CpG sites located at AVPR1a. (3) Results: After adjusting the model for substance use, infants with in-utero exposure to maternal smoking had a reduction in DNAm at AVPR1a CpG sites by -0.02 (95% CI -0.03, -0.01) at one month of age. In conclusion, in-utero exposure to tobacco smoke can lead to differential patterns of DNAm of AVPR1a among infants. Conclusions: Future studies are needed to identify how gene expression in response to early environmental exposures contributes to health outcomes.