Effects of the in ovo administration of two vitamin D3 sources (vitamin D3 (D3) and 25-hydroxyvitamin D3 (25OHD3)) on the expression of D3 activity- and immunity-related genes in broilers subjected to a coccidiosis infection were investigated. At 18 d of incubation (doi), five in ovo injection treatments were administrated to live embryonated Ross 708 broiler hatching eggs: non-injected (1) and diluent-injected (2) controls, or diluent injection containing 2.4 μg of D3 (3) or 2.4 μg of 25OHD3 (4), or their combination (5). Birds in the in ovo-injected treatments were challenged at 14 d of age (doa) with a 20× dosage of a live coccidial vaccine. At 14 and 28 doa, the expression of eight immunity-related genes (IL-2, IL-6, IL-10, TLR-4, TLR-15, MyD88, TGF-β4, and IFN-γ) and four D3 activity-related genes (1α-hydroxylase, 25-hydroxylase, 24-hydroxylase, and VDR) in the jejunum of one bird in each treatment–replicate group were evaluated. No significant treatment effects were observed for any of the genes before challenge. However, at 2 weeks post-challenge, the expression of 1α-hydroxylase, TGF-β4, and IL-10 increased in birds that received 25OHD3 alone in comparison to all the other in ovo-injected treatment groups. Additionally, the expression of 24-hydroxylase and IL-6 decreased in birds that received 25OHD3 in comparison to those injected with diluent or D3 alone. It was concluded that the in ovo injection of 2.4 μg of 25OHD3 may improve the intestinal immunity as well as the activity of D3 in Ross 708 broilers subjected to a coccidiosis challenge.