Setd2 is known as a histone-H3K36-specific methyltransferase. However, its role in physiological function remains unclear. In this study, we show that Setd2 mainly regulates differentiation of murine embryonic stem cells (mESCs) toward primitive endoderm. Furthermore, we show that downregulated endoderm-related genes in Setd2^−/− mESCs are associated with an aberrantly low level of Erk activity and that enforced expression of Fgfr3 can rescue the defective Erk pathway in Setd2^−/− mESCs. Interestingly, the transcriptional initiation of Fgfr3 is directly regulated through histone H3K36me3 modification in its distal promoter region by Setd2. These results indicate that Setd2 controls the primitive endoderm differentiation of mESCs by regulating the Fgfr3-Erk signaling.