Iron and vitamin D deficiencies are common during pregnancy. Our aim was to identify whether antenatal vitamin D3 supplementation affects iron status (via hepcidin suppression) and/or inflammation. Using a subset of the UK multicenter Maternal Vitamin D Osteoporosis Study (MAVIDOS)—a double-blinded, randomized, placebo-controlled trial (ISRCTN82927713; EudraCT2007-001716-23)—we performed a secondary laboratory analysis. Women with blood samples from early and late pregnancy (vitamin D3 (1000 IU/day from ~14 weeks gestation n = 93; placebo n = 102) who gave birth in the springtime (March–May) were selected as we anticipated seeing the greatest treatment group difference in change in 25-hydroxyvitamin D (25OHD) concentration. Outcomes were hepcidin, ferritin, C-reactive protein, and α1-acid glycoprotein concentration in late pregnancy (25OHD concentration was measured previously). By late pregnancy, 25OHD concentration increased by 17 nmol/L in the vitamin D3 group and decreased by 11 nmol/L in the placebo group; hepcidin, ferritin, and inflammatory markers decreased but no treatment group differences were seen. In late pregnancy, positive relationships between 25OHD and hepcidin and 25OHD and ferritin in the placebo group were observed but not in the treatment group (group × 25OHD interaction, p < 0.02). Vitamin D3 supplementation had no effect on hepcidin, ferritin, or inflammatory status suggesting no adjunctive value of vitamin D3 in reducing rates of antenatal iron deficiency..