Immigrants from South Asia, the Middle East, and Africa living in Northern Europe frequently have low vitamin D levels and more pain compared to the native Western population. The aim of this study was to examine whether daily vitamin D3 (25 µg/d or 10 µg/d) supplementation for 16 weeks would improve musculoskeletal pain or headache compared to placebo. This randomized, double-blind, placebo-controlled, parallel-group trial recruited 251 participants aged 18 to 50 years, and 215 (86%) attended the follow-up visit. The pain measures were occurrence, anatomical localization, and degree of musculoskeletal pain, as measured by visual analogue scale (VAS) score during the past 2 weeks. Headache was measured with VAS and the Headache Impact Test (HIT-6) questionnaire. At baseline, females reported more pain sites (4.7) than males (3.4), and only 7% reported no pain in the past 2 weeks. During the past 4 weeks, 63% reported headache with a high mean HIT-6 score of 60 (SD 7). At follow-up, vitamin D level, measured as serum 25(OH)D3, increased from 27 nmol/L to 52 nmol/L and from 27 nmol/L to 43 nmol/L in the 25-µg and 10-µg supplementation groups, respectively, whereas serum 25(OH)D3 did not change in the placebo group. Pain scores and headache scores were improved at follow-up compared with baseline. The use of vitamin D supplements, however, showed no significant effect on the occurrence, anatomical localization, and degree of pain or headache compared to placebo.