Co-transcriptional splicing takes place in the context of a highly dynamic chromatin architecture, yet the role of chromatin restructuring in coordinating transcription with RNA splicing has not been fully resolved. To further define the contribution of histone modifications to pre-mRNA splicing in Saccharomyces cerevisiae, we probed a library of histone point mutants using a reporter to monitor pre-mRNA splicing. We found that mutation of H3 lysine 36 (H3K36) – a residue methylated by Set2 during transcription elongation – exhibited phenotypes similar to those of pre-mRNA splicing mutants. We identified genetic interactions between genes encoding RNA splicing factors and genes encoding the H3K36 methyltransferase Set2 and the demethylase Jhd1 as well as point mutations of H3K36 that block methylation. Consistent with the genetic interactions, deletion of SET2, mutations modifying the catalytic activity of Set2 or H3K36 point mutations significantly altered expression of our reporter and reduced splicing of endogenous introns. These effects were dependent on the association of Set2 with RNA polymerase II and H3K36 dimethylation. Additionally, we found that deletion of SET2 reduces the association of the U2 and U5 snRNPs with chromatin. Thus, our study provides the first evidence that H3K36 methylation plays a role in co-transcriptional RNA splicing in yeast