High-dose vitamin D supplementation (4000 or 10,000 IU/d) in vitamin D-sufficient individuals results in a dose-dependent decrease in radius and tibia total bone mineral density (Tt.BMD) compared with 400 IU/d. This exploratory analysis examined whether the response to high-dose vitamin D supplementation depends on imaging modality and skeletal site. Participants were aged 55 to 70 years, not osteoporotic, with serum 25(OH)D 30 to 125 nM. Participants' radius and tibia were scanned on high-resolution peripheral quantitative computed tomography (HR-pQCT) to measure Tt.BMD, trabecular bone volume fraction (Tb.BV/TV), trabecular separation (Tb.Sp), cortical thickness (Ct.Th), and finite element analysis (FEA) estimated failure load. Three-dimensional image registration was used. Dual-energy X-ray absorptiometry (DXA) scans of the hip, spine, and radius measured areal BMD (aBMD) and trabecular bone score (TBS). Constrained linear mixed-effects models determined treatment group-by-time and treatment group-by-time-by-sex interactions. The treatment group-by-time interaction previously observed for radial Tt.BMD was observed at both ultradistal (UD, p < 0.001) and 33% (p < 0.001) aBMD sites. However, the treatment group-by-time-by-sex interaction observed for radial Tt.BMD was not observed with aBMD at either the UD or 33% site, and the 4000 and 400 groups did not differ. Registered radial FEA results mirrored Tt.BMD. An increase in Tb.Sp and decrease in Ct.Th underpinned dose-dependent changes in radial BMD and strength. We observed no effects in DXA-based aBMD at the hip or spine or TBS. At the tibia, we observed a time-by-treatment group effect for Tb.BV/TV. Given that DXA measures at the radius did not detect sex differences or differences between the 4000 and 400 groups, HR-pQCT at the radius may be more sensitive for examining bone changes after vitamin D supplementation. Although DXA did not reveal treatment effects at the hip or spine, whether that is a true skeletal site difference or a lack of modality sensitivity remains unclear.