(1) The study aimed to investigate whether vitamin D3 supplementation would positively affect rats with glucocorticoids-induced muscle atrophy as measured by skeletal muscle mass in two experimental conditions: chronic dexamethasone (DEX) administration and a model of the chronic stress response. (2) The study lasted 28 consecutive days and was performed on 45 male Wistar rats randomly divided into six groups. These included two groups treated by abdominal injection of DEX at a dose of 2 mg/kg/day supplemented with vegetable oil (DEX PL; n = 7) or with vitamin D3 600 IU/kg/day (DEX SUP; n = 8), respectively, and a control group treated with an abdominal injection of saline (CON; n = 6). In addition, there were two groups of rats chronically stressed by cold water immersion (1 hour/day in a glass box with 1-cm-deep ice/water mixture; temperature ~4 °C), which were supplemented with vegetable oil as a placebo (STR PL; n = 9) or vitamin D3 at 600 IU/kg/day (STR SUP; n = 9). The last group was of sham-stressed rats (SHM; n = 6). Blood, soleus, extensor digitorum longus, gastrocnemius, tibialis anterior, and quadriceps femoris muscles were collected and weighed. The heart, liver, spleen, and thymus were removed and weighed immediately after sacrifice. The plasma corticosterone (CORT) and vitamin D3 metabolites were measured. (3) We found elevated CORT levels in both cold water-immersed groups; however, they did not alter body and muscle weight. Body weight and muscle loss occurred in groups with exogenously administered DEX, with the exception of the soleus muscle in rats supplemented with vitamin D3. Decreased serum 25(OH)D3 concentrations in DEX-treated rats were observed, and the cold water immersion did not affect vitamin D3 levels. (4) Our results indicate that DEX-induced muscle loss was abolished in rats supplemented with vitamin D3, especially in the soleus muscle.