Background: Vitamin D deficiency is associated with several obstetric complications in singleton pregnancy. The aim of this study was to assess whether vitamin D levels affect the outcomes of twin pregnancy and if targeted supplementation can improve perinatal outcomes. Methods: The serum vitamin D levels of 143 women with twin pregnancies were measured during their first trimester. Those with insufficient (10–30 ng/mL; IL group) or severely deficient (<10 ng/mL, DL group) vitamin D levels were supplemented. In the third trimester, vitamin D levels were reassessed. Perinatal outcomes of the IL and DL groups were compared with those of patients with sufficient levels (>30 ng/mL, SL group) since the beginning of pregnancy. Results: Women in the IL and DL groups had a higher incidence of hypertensive disorders of pregnancy (HDP) compared to the SL group (24.8% and 27.8% vs. 12.5%, p = 0.045): OR = 1.58 for the IL group and 1.94 for the DL group compared to the SL group. In patients whose vitamin D levels were restored after supplementation, HDP incidence was lower than in patients who remained in the IL or DL groups (23.4% vs. 27.3%) but higher than those who were always in the SL group (12.5%). Conclusions: Insufficient or severely deficient levels of vitamin D in the first trimester are associated with an increased risk of HDP in twin pregnancy. The beneficial effect of targeted vitamin D supplementation in reducing HDP seems limited.