Interferon-α (IFNα) signaling is essential for antiviral response via induction of IFN-stimulated genes (ISGs). Through a non-biased high-throughput RNAi screening of 711 known epigenetic modifiers in cellular models of IFNα-mediated inhibition of HBV replication, we identified methyltransferase SETD2 as a critical amplifier of IFNα-mediated antiviral immunity. Conditional knockout mice with hepatocyte-specific deletion of Setd2 exhibit enhanced HBV infection. Mechanistically, SETD2 directly mediates STAT1 methylation on lysine 525 via its methyltransferase activity, which reinforces IFN-activated STAT1 phosphorylation and antiviral cellular response. In addition, SETD2 selectively catalyzes the tri-methylation of H3K36 on promoters of some ISGs such as ISG15, leading to gene activation. Our study identifies STAT1 methylation on K525 catalyzed by the methyltransferase SETD2 as an essential signaling event for IFNα-dependent antiviral immunity and indicates potential of SETD2 in controlling viral infections.