Vitamin D deficiency is highly prevalent among non-western immigrants in The Netherlands and associated with poor physical performance. The aim of this study was to assess the effect of vitamin D supplementation on physical performance, exercise capacity, and daily physical activity in vitamin D-deficient, overweight non-western immigrants. A randomized double-blind, placebo-controlled trial was conducted to assess the effect of vitamin D on physical performance. A total of 130 participants were included. Eligibility criteria included overweight (BMI >27 kg/m2), 25-hydroxy vitamin D (25(OH)D) ≤50 nmol/l, and an age range of 20–65 years. The intervention group received 1200 IU vitamin D3 daily for 4 months; the control group received placebo. Both groups received 500 mg calcium daily. Outcome measures included physical performance (physical performance score), exercise capacity (a 6-min walk test (6-MWT)), and daily physical activity (questionnaire and accelerometer). There was no significant effect on physical performance, exercise capacity, or physical activity in the intention to treat analysis. In an explorative post hoc analysis restricted to participants reaching a serum 25(OH)D concentration of >60 nmol/l after intervention, there was an improvement of 19 m in the 6-MWT compared with the control group (P=0.053). Moderate dose vitamin D supplementation did not significantly improve physical performance, exercise capacity, or physical activity. However, when 25(OH)D concentrations reached >60 nmol/l after intervention, there was a borderline significant improvement in exercise capacity. Although the clinical relevance is not clear, this is a promising result, as all participants were overweight and did not improve their overall activity levels.