Evidence indicates that vitamin D deficiency contributes to CVD. We investigated the effect of vitamin D3 supplementation on cardiovascular risk factors in women. Healthy premenopausal overweight and obese women (n 77; mean age 38 (sd 8·1) years) were randomly allocated to the vitamin D (25 μg/d as cholecalciferol) or the placebo group in a double-blind manner for 12 weeks. Blood pressure, serum lipoproteins, apolipoproteins and anthropometric parameters were recorded. Dietary intake was recorded using 24 h food recall and FFQ. Physical activity was assessed by the International Physical Activity Questionnaire. Mean total cholesterol concentrations increased in the vitamin D group (0·08 (sd 0·56) mmol/l) but declined in the placebo group (0·47 (sd 0·58) mmol/l), and a significant effect was observed (P ≤ 0·001). In the vitamin D group, mean HDL-cholesterol concentration increased, whereas it decreased in the placebo group (0·07 (sd 0·2) v. − 0·03 (sd 0·2) mmol/l; P = 0·037). Mean apoA-I concentration increased in the vitamin D group, although it decreased in the placebo group (0·04 (sd 0·39) v. − 0·25 (sd 0·2) g/l; P ≤ 0·001). Mean LDL-cholesterol:apoB-100 ratio augmented in the vitamin D group, while this ratio declined in the placebo group (0·11 (sd 0·6) v. − 0·19 (sd 0·3); P = 0·014). Body fat mass was significantly decreased in the vitamin D group more than the placebo group ( − 2·7 (sd 2) v. − 0·4 (sd 2) kg; P ≤ 0·001). The findings showed that supplementation with vitamin D3 can significantly improve HDL-cholesterol, apoA-I concentrations and LDL-cholesterol:apoB-100 ratio, which remained significant in the multivariate model including anthropometric, dietary and physical activity measures.