Parallel single-cell sequencing protocols represent powerful methods for investigating regulatory relationships, including epigenome-transcriptome interactions. Here, we report a single-cell method for parallel chromatin accessibility, DNA methylation and transcriptome profiling. scNMT-seq (single-cell nucleosome, methylation and transcription sequencing) uses a GpC methyltransferase to label open chromatin followed by bisulfite and RNA sequencing. We validate scNMT-seq by applying it to differentiating mouse embryonic stem cells, finding links between all three molecular layers and revealing dynamic coupling between epigenomic layers during differentiation.