A double-blind placebo-controlled randomized phase II trial was performed to determine whether High Dose Vitamin D2 supplementation (HDD) in women receiving adjuvant anastrozole improves aromatase inhibitor-induced musculoskeletal symptoms (AIMSS) and bone loss. Patients with early breast cancer and AIMSS were stratified according to their baseline 25-hydroxy vitamin D (25OHD) level. Stratum A (20-29 ng/ml) received either HDD 50,000 IU capsules weekly for 8 weeks then monthly for 4 months or placebo. Stratum B (10-19 ng/ml) received either HDD for 16 weeks and then monthly for 2 months, or placebo. AIMSS was assessed by the Brief Pain Inventory-Short Form (BPI-SF), the Fibromyalgia Impact Questionnaire (FIQ), and the Health Assessment Questionnaire-Disability Index (HAQ-DI) at baseline, 2, 4, and 6 months. Bone Mineral Density (BMD) was measured at baseline and at 6 months. The primary endpoint of the study was the change-from-baseline musculoskeletal pain. The secondary endpoint was the percent change in BMD at 6 months. Sixty women were enrolled. Baseline characteristics were comparable between the groups. At 2 months, FIQ pain (P = 0.0045), BPI worst-pain (P = 0.04), BPI average-pain (P = 0.0067), BPI pain-severity (P = 0.04), and BPI interference (P = 0.034) scores were better in the HDD than placebo group. The positive effect of HDD on AIMSS was stronger across all time points in Stratum B than Stratum A (FIQ pain, P = 0.04; BPI average, P = 0.03; BPI severity, P = 0.03; BPI interference, P = 0.04). BMD at the femoral neck decreased in the placebo and did not change in the HDD group (P = 0.06). Weekly HDD improves AIMSS and may have a positive effect on bone health. Vitamin D supplementation strategies for breast cancer patients on AI should be further investigated.