Vitamin D₃ supplementation can affect strength and power; however, the effect on both aerobic and anaerobic performance remains unclear. Here, we investigate the effects of eight weeks of a high dose of vitamin D₃ supplementation and its impact on circulating 25-hydroxyvitamin D (25-OH-D₃) concentrations and selected indicators of physical capacity. Subjects (n = 28, age 21.1 ± 1.6) were divided into two groups: supplemented (SUP), which was given 6000 IU of vitamin D₃ daily for eight weeks; and placebo group (PLA). Serum 25-OH-D₃ concentrations were determined in pre- and post-intervention. Aerobic ( $\stackrel{.}{\mathrm{V}}$ O_2max test) and anaerobic (Wingate Anaerobic Test) capacity were determined before and after the supplementation. The mean baseline concentration of 25-OH-D₃ was recognized as deficient (20 ng/mL) and significantly increased over time in the supplemented group (p < 0.01, η² = 0.86), whilst it remained unchanged in the placebo group. Moreover, the supplementation caused a significant improvement in maximal aerobic (p < 0.05, η² = 0.27) and anaerobic power (p < 0.01, η² = 0.51) whereas no changes were observed in PLA group. The $\stackrel{.}{\mathrm{V}}$ O_2max differences were also significant in the supplemented group (p < 0.05). In summary, the changes in aerobic and anaerobic capacity observed in this study were associated with a serum concentration of 25-OH-D₃. Our data imply that vitamin D₃ supplementation with a dose of 6000 IU daily for eight weeks is sufficient to improve physical capacity and vitamin D₃ status.