Vitamin D and calcium are considered crucial for the treatment of bone diseases. Both vitamin D and calcium contribute to bone homeostasis but also preserve muscle health by reducing the risk of falls and fractures. Low vitamin D concentrations result in secondary hyperparathyroidism and contribute to bone loss, although the development of secondary hyperparathyroidism varies, even in patients with severe vitamin D deficiency. Findings from observational studies have shown controversial results regarding the association between bone mineral density and vitamin D/calcium status, thus sparking a debate regarding optimum concentrations of 25-hydroxyvitamin D and calcium for the best possible skeletal health. Although most of the intervention studies reported a positive effect of supplementation with calcium and vitamin D on bone in patients with osteoporosis, this therapeutic approach has been a matter of debate regarding potential side effects on the cardiovascular (CV) system. Thus, the aim of this review is to consider the current evidence on the physiological role of vitamin D and calcium on bone and muscle health. Moreover, we provide an overview on observational and interventional studies that investigate the effect of vitamin D and calcium supplementation on bone health, also taking into account the possible CV side-effects. We also provide molecular insights on the effect of calcium plus vitamin D on the CV system.