Many spliceosomal introns are excised from nascent transcripts emerging from RNA polymerase II (RNA Pol II). The extent of cell-type-specific regulation and possible functions of such co-transcriptional events remain poorly understood. We examined the role of the RNA-binding protein PTBP1 in this process using an acute depletion approach followed by the analysis of chromatin- and RNA Pol II-associated transcripts. We show that PTBP1 activates the co-transcriptional excision of hundreds of introns, a surprising effect given that this protein is known to promote intron retention. Importantly, some co-transcriptionally activated introns fail to complete their splicing without PTBP1. In a striking example, retention of a PTBP1-dependent intron triggers nonsense-mediated decay of transcripts encoding DNA methyltransferase DNMT3B. We provide evidence that this regulation facilitates the natural decline in DNMT3B levels in developing neurons and protects differentiation-specific genes from ectopic methylation. Thus, PTBP1-activated co-transcriptional splicing is a widespread phenomenon mediating epigenetic control of cellular identity.