From the linear stability analysis，the modulational instability (MI) of two-component dipolar Bose-Einstein condensates (BECs) in an optical lattice is studied. The relation of the region of MI with the on-site interaction and the site-to-site interaction induced by the dipole-dipole interaction is obtained. The results show that there is a great influence of site-to-site interaction on the MI of the two-component dipolar BECs in the optical lattices. This gives us some useful information for manipulating two-component dipolar BECs in practice.