The study was designed to examine the effect of hormone replacement therapy (HRT) and low-dose bone loss in non-osteoporotic early postmenopausal women and to determine whether Vit D supplementation can give additional benefit to an already optimized estrogen regimen. The effects of HRT and Vit D on bone mineral density (BMD) were studied in postmenopausal women in a 2.5-year randomized placebo-controlled study. The study population was a subgroup of the Kuopio Osteoporosis Risk Factor and Prevention Study (OSTPRE) (n = 13100). A total of 464 early postmenopausal women were randomized to four groups: (1) HRT (a sequential combination of 2 mg estradiol valerate and 1 mg cyproterone acetate (E2Val/CPA); (2) vitamin D3 (cholecalciferol, 300 IU/day); (3) HRT + Vit D; and (4) placebo (calcium lactate; 93 mg Ca2+/day). Lumbar (L1-4) and femoral neck BMD were determined by dual-energy X-ray absorptiometry before and after 2.5 years of treatment. After 2.5 years, lumbar BMD had increased by 1.8% in the HRT group (p > 0.001) and by 1.4% in the HRT + Vit D group (p = 0.002), whereas lumbar BMD had decreased by 3.5% (p < 0.001) in the Vit D group and by 3.7% (p < 0.001) in the placebo group. The loss of femoral neck BMD was lower in the HRT (-0.3%) and the HRT + Vit D (0.9%) groups compared with the Vit D (-2.4%) and the placebo groups (-3.7%). This study confirms the beneficial effect of HRT on BMD. It also shows that low-dose vitamin D supplementation has only a minor effect in the prevention of osteoporosis in non-osteoporotic early postmenopausal women and does not give any benefit additional to that of HRT alone.