The COVID-19 pandemic and subsequent self-isolation exacerbated the problem of insufficient amounts of physical activity and its consequences. At the same time, this revealed the advantage of vitamin D. Thus, there was a need to verify the effects of those forms of training that can be performed independently. In this study, we examined the effects of Nordic walking (NW) and high intensity interval training (HIIT) with regard to the impact of the metabolite vitamin D. We assigned 32 overweight adults (age = 61 ± 12 years) to one of two training groups: NW = 18 and HIIT = 14. Body composition assessment and blood sample collection were conducted before starting the training programs and a day after their completion. NW training induced a significant decrease in myostatin (p = 0.05) concentration; however, the range was dependent on the baseline concentrations of vitamin D metabolites. This drop was accompanied by a significant negative correlation with the decorin concentration. Unexpectedly, NW caused a decrement in both forms of osteocalcin: undercarboxylated (Glu-OC) and carboxylated-type (Gla-OC). The scope of Glu-OC changes was dependent on a baseline concentration of 25(OH)D₂ (r = −0.60, p = 0.01). In contrast, the HIIT protocol did not induce any changes. Overall results revealed that NW diminished the myostatin concentration and that this effect is more pronounced among adults with a sufficient concentration of vitamin D metabolites.