The need, safety, and effectiveness of vitamin D supplementation during pregnancy remain controversial. In this randomized, controlled trial, women with a singleton pregnancy at 12 to 16 weeks' gestation received 400, 2000, or 4000 IU of vitamin D₃ per day until delivery. The primary outcome was maternal/neonatal circulating 25‐hydroxyvitamin D [25(OH)D] concentration at delivery, with secondary outcomes of a 25(OH)D concentration of 80 nmol/L or greater achieved and the 25(OH)D concentration required to achieve maximal 1,25‐dihydroxyvitamin D₃ [1,25(OH)₂D₃] production. Of the 494 women enrolled, 350 women continued until delivery: Mean 25(OH)D concentrations by group at delivery and 1 month before delivery were significantly different (p < 0.0001), and the percent who achieved sufficiency was significantly different by group, greatest in 4000‐IU group (p < 0.0001). The relative risk (RR) for achieving a concentration of 80 nmol/L or greater within 1 month of delivery was significantly different between the 2000‐ and the 400‐IU groups (RR = 1.52, 95% CI 1.24–1.86), the 4000‐ and the 400‐IU groups (RR = 1.60, 95% CI 1.32–1.95) but not between the 4000‐ and. 2000‐IU groups (RR = 1.06, 95% CI 0.93–1.19). Circulating 25(OH)D had a direct influence on circulating 1,25(OH)₂D₃ concentrations throughout pregnancy (p < 0.0001), with maximal production of 1,25(OH)₂D₃ in all strata in the 4000‐IU group. There were no differences between groups on any safety measure. Not a single adverse event was attributed to vitamin D supplementation or circulating 25(OH)D levels. It is concluded that vitamin D supplementation of 4000 IU/d for pregnant women is safe and most effective in achieving sufficiency in all women and their neonates regardless of race, whereas the current estimated average requirement is comparatively ineffective at achieving adequate circulating 25(OH)D concentrations, especially in African Americans. © 2011 American Society for Bone and Mineral Research