Objectives The purpose of this study is to determine the associations between Vitamin D supplementation, 25(OH) blood serum levels, suicide attempts, and intentional self-harm in a population of veterans in the Department of Veterans Affairs (VA). Methods A retrospective cohort study of US Veterans supplemented with Vitamin D. Veterans with any Vitamin D3 (cholecalciferol) or Vitamin D2 (ergocalciferol) fill between 2010 and 2018 were matched 1:1 to untreated control veterans having similar demographics and medical histories. Cox proportional hazards regression was used to estimate the time from the first Vitamin D3 (cholecalciferol) or Vitamin D2 (ergocalciferol) prescription fill to the first suicide attempt or intentional self-harm. Analyses were repeated in stratified samples to measure associations by race (Black or White), gender (male or female), blood levels (0–19 ng/ml, 20–39 ng/ml, and 40+ ng/ml), and average daily dosage. Results Vitamin D3 and D2 supplementation were associated with a 45% and 48% lower risk of suicide attempt and self-harm ((D2 Hazard Ratio (HR) = 0.512, [95% CI, 0.457, 0.574]; D3 HR = 0.552, [95% CI, 0.511, 0.597])). Supplemented black veterans and veterans with 0–19 ng/ml vitamin D serum levels were at ~64% lower risk relative to controls (Black Veteran HR: 0.362 [95% CI: 0.298,0.440]; 0–19 ng/ml HR: 0.359 [95% CI: 0.215,0.598]). Supplementation with higher vitamin D dosages was associated with greater risk reductions than lower dosages (Log Average Dosage HR: 0.837 [95% CI: 0.779,0.900]). Conclusions Vitamin D supplementation was associated with a reduced risk of suicide attempt and self-harm in Veterans, especially in veterans with low blood serum levels and Black veterans.