In a 36-month randomized controlled trial examining the effect of high-dose vitamin D₃ on radial and tibial total bone mineral density (TtBMD), measured by high-resolution peripheral quantitative tomography (HR-pQCT), participants (311 healthy males and females aged 55–70 years with dual-energy X-ray absorptiometry T-scores > −2.5 without vitamin D deficiency) were randomized to receive 400 IU (N = 109), 4000 IU (N = 100), or 10,000 IU (N = 102) daily. Participants had HR-pQCT radius and tibia scans and blood sampling at baseline, 6, 12, 24, and 36 months. This secondary analysis examined the effect of vitamin D dose on plasma measurements of the vitamin D metabolome by liquid chromatography–tandem mass spectrometry (LC-MS/MS), exploring whether the observed decline in TtBMD was associated with changes in four key metabolites [25-(OH)D₃;​ 24,25-(OH)₂D₃;​ 1,25-(OH)₂D₃;​ and 1,24,25-(OH)₃D₃]. The relationship between peak values in vitamin D metabolites and changes in TtBMD over 36 months was assessed using linear regression, controlling for sex. Increasing vitamin D dose was associated with a marked increase in 25-(OH)D₃, 24,25-(OH)₂D₃ and 1,24,25-(OH)₃D₃, but no dose-related change in plasma 1,25-(OH)₂D₃ was observed. There was a significant negative slope for radius TtBMD and 1,24,25-(OH)₃D₃ (−0.05, 95% confidence interval [CI] −0.08, −0.03, p < 0.001) after controlling for sex. A significant interaction between TtBMD and sex was seen for 25-(OH)D₃ (female:​ −0.01, 95% CI −0.12, −0.07;​ male:​ −0.04, 95% CI −0.06, −0.01, p = 0.001) and 24,25-(OH)₂D₃ (female:​ −0.75, 95% CI −0.98, −0.52;​ male:​ −0.35, 95% CI −0.59, −0.11, p < 0.001). For the tibia there was a significant negative slope for 25-(OH)D₃ (−0.03, 95% CI −0.05, −0.01, p < 0.001), 24,25-(OH)₂D₃ (−0.30, 95% CI −0.44, −0.16, p < 0.001), and 1,24,25-(OH)₃D₃ (−0.03, 95% CI −0.05, −0.01, p = 0.01) after controlling for sex. These results suggest vitamin D metabolites other than 1,25-(OH)₂D₃ may be responsible for the bone loss seen in the Calgary Vitamin D Study. Although plasma 1,25-(OH)₂D₃ did not change with vitamin D dose, it is possible rapid catabolism to 1,24,25-(OH)₃D₃ prevented the detection of a dose-related rise in plasma 1,25-(OH)₂D₃.