Epigenetic modifications, such as DNA methylation or histone modifications, can be transmitted between cellular or organismal generations. However, there are no experiments measuring their role in adaptation, so here we use experimental evolution to investigate how epigenetic variation can contribute to adaptation. We manipulated DNA methylation and histone acetylation in the unicellular green alga Chlamydomonas reinhardtii both genetically and chemically to change the amount of epigenetic variation generated or transmitted in adapting populations in three different environments (salt stress, phosphate starvation, and high CO2) for two hundred asexual generations. We find that reducing the amount of epigenetic variation available to populations can reduce adaptation in environments where it otherwise happens. From genomic and epigenomic sequences from a subset of the populations, we see changes in methylation patterns between the evolved populations over-represented in some functional categories of genes, which is consistent with some of these differences being adaptive. Based on whole genome sequencing of evolved clones, the majority of DNA methylation changes do not appear to be linked to cis-acting genetic mutations. Our results show that transgenerational epigenetic effects play a role in adaptive evolution, and suggest that the relationship between changes in methylation patterns and differences in evolutionary outcomes, at least for quantitative traits such as cell division rates, is complex.