The effect of vitamin D supplementation and caloric restriction (CR) on glycemic indices and osteocalcin (OC) is not clear. In this randomized controlled double blind trial, we examined whether vitamin D3 supplementation at 2500 IU/d (D) or placebo has differential effects on markers of insulin sensitivity and bone turnover in overweight/obese postmenopausal women during 6 weeks of caloric restriction (weight loss; WL, n = 39) compared to weight maintenance (WM, n = 37). Seventy-six women (57 ± 6 years) completed this study and the WL groups lost 4 ± 1% of body weight. Baseline serum 25-hydroxyvitamin D (25OHD) was 24.8 ± 5.6 ng/mL at baseline; the rise was greatest in WL-D group (p < 0.05). There was an interaction between vitamin D intake and weight on serum OC, insulin, glucose and markers of insulin sensitivity (p < 0.05). The change in OC was explained by changes in serum 25OHD and insulin (model R(2) = 25.6%). Overall, vitamin D supplementation and CR influence serum osteocalcin levels and modestly favor improvements in insulin sensitivity.