(1) Background: Lower levels of serum 25-hydroxyvitamin D (25(OH)D) are common in osteoarthritis (OA) patients. However, the effect of vitamin D supplementation on muscle strength and physical performance remains unclear. This study will investigate the effects of vitamin D2 supplementation on muscle strength and physical performance in knee OA patients; (2) Methods: One hundred and seventy-five primary knee OA patients with low levels of serum 25(OH)D (<30 ng/mL) received 40,000 IU vitamin D2 (ergocalciferol) per week for six months. Body composition, muscle strength, physical performance, serum 25(OH)D level, leptin, interlukin-6 (IL-6), parathyroid hormone (PTH), protein carbonyl, and metabolic profile were analyzed; (3) Results: Baseline mean serum 25(OH)D levels in knee OA patients was 20.73 ng/mL. Regarding baseline vitamin D status, 58.90% of patients had vitamin D insufficiency, and 41.10% had vitamin D deficiency. After vitamin D2 supplementation for six months, mean serum 25(OH)D level was 32.14 ng/mL. For post-supplementation vitamin D status, 57.10% of patients had vitamin D sufficiency and 42.90% had vitamin D insufficiency. From baseline to six months, there was a significant increase in mean serum 25(OH)D level (p < 0.001), while mean LDL cholesterol (p = 0.001), protein carbonyl (p = 0.04), and PTH (p = 0.005) all significantly decreased. Patient quality of life (SF-12) and pain (visual analog scale, VAS) both improved significantly from baseline to the six-month time point (p = 0.005 and p = 0.002, respectively). Knee OA patients demonstrated significant improvement grip strength and physical performance measurements after vitamin D2 supplementation (p < 0.05); (4) Conclusions: Vitamin D2 supplementation for six months reduced oxidative protein damage, decreased pain (VAS), improved quality of life, and improved grip strength and physical performance in osteoarthritis patients.