Three years of high‐dose vitamin D supplementation (400 IU, 4000 IU, 10,000 IU) in healthy vitamin D–sufficient individuals aged 55 to 70 years (serum 25(OH)D 30–125 nmol/L at baseline), resulted in a negative dose‐response relationship for bone density and strength. This study examined whether response differed between males and females. A total of 311 participants (53% male) were randomized to 400 IU (male = 61, female = 48), 4000 IU (male = 51, female = 49), or 10,000 IU (male = 53, female = 49) daily vitamin D3. Participants were scanned with high‐resolution peripheral quantitative computed tomography (HR‐pQCT) to measure total volumetric BMD (TtBMD) at baseline, 6, 12, 24, and 36 months. Finite element analysis estimated bone strength. Balance, physical function, and clinical biochemistry parameters were also assessed. Constrained linear mixed effects models determined time‐by‐treatment group‐by‐sex interactions. Baseline, 3‐month, and 3‐year levels of 25(OH)D were 76.3, 76.7, and 77.4 nmol/L (400 IU);​ 81.3, 115.3, and 132.2 (4000 IU);​ and 78.4, 188.0, and 144.4 (10,000 IU), respectively. There were significant time‐by‐treatment group‐by‐sex interactions for TtBMD at the radius (p = .002) and tibia (p = .005). Treatment with 4000 IU or 10,000 IU compared to 400 IU resulted in TtBMD losses in females, but this was not observed with males. After 3 years, females lost 1.8% (400 IU), 3.8% (4000 IU), and 5.5% (10,000 IU), whereas males lost 0.9% (400 IU), 1.3% (4000 IU), and 1.9% (10,000 IU) at the radius. At the tibia, losses in TtBMD were smaller, but followed a similar trend. There were no significant bone strength interactions. Vitamin D supplementation with 4000 IU or 10,000 IU, compared with 400 IU daily, resulted in greater losses of TtBMD over 3 years in healthy vitamin D–sufficient females, but not males. These results are clinically relevant, because vitamin D supplementation is widely administered to postmenopausal females for osteoporosis prevention. Our findings do not support a benefit of high‐dose vitamin D supplementation for bone health, and raise the possibility of harm for females.