Histone methylation at H3K4 and H3K36 is commonly associated with genes actively transcribed by RNA polymerase II (RNAPII) and is catalyzed by Saccharomyces cerevisiae Set1 and Set2, respectively. Here we report that both methyltransferases can be UV cross-linked to RNA in vivo High-throughput sequencing of the bound RNAs revealed strong Set1 enrichment near the transcription start site, whereas Set2 was distributed along pre-mRNAs. A subset of transcripts showed notably high enrichment for Set1 or Set2 binding relative to RNAPII, suggesting functional posttranscriptional interactions. In particular, Set1 was strongly bound to the SET1 mRNA, Ty1 retrotransposons, and noncoding RNAs from the ribosomal DNA (rDNA) intergenic spacers, consistent with its previously reported silencing roles. Set1 lacking RNA recognition motif 2 (RRM2) showed reduced in vivo cross-linking to RNA and reduced chromatin occupancy. In addition, levels of H3K4 trimethylation were decreased, whereas levels of dimethylation were increased. We conclude that RNA binding by Set1 contributes to both chromatin association and methyltransferase activity.