The cotton mealybug, Phenacoccus solenopsis, is an invasive pest that can cause massive damage to many host plants of agricultural importance. P. solenopsis is highly polyphagous, and shows extreme sexual dimorphism between males and females. The functions of DNA methyltransferase (DNMT) enzymes in the cotton mealybug have not been well studied. Here, we carried out an investigation of DNMTs in cotton mealybug to study their roles in sexual dimorphism. We found that the cotton mealybug has two copies of PsDnmt1, but Dnmt3 is absent. We then amplified the full-length cDNAs of PsDnmt1A (2225 bp) and PsDnmt1B (2862 bp) using rapid amplification cDNA ends (RACE). Quantitative reverse transcriptase PCR shows that both PsDnmt1A and PsDnmt1B are highly expressed in adult males, while the expression of PsDnmt1B is 30-fold higher in gravid females than in virgin females. We knocked down PsDnmt1A and PsDnmt1B with small interfering RNAs (siRNAs), and both genes were successfully down-regulated after 24 h or 72 h in adult females and pupa (t-test, p < 0.05). Down-regulating the expression of these two DNMT genes led to offspring lethality and abnormal body color in adult females. Furthermore, the silencing of PsDnmt1B induced abnormal wing development in emerged adult males. Our results provide evidence that PsDnmt1 plays a crucial role in regulating sexual dimorphism in the cotton mealybug.