Higher blood levels of vitamin D were associated with a 2.9-fold increase in cardiorespiratory fitness (VO2max). Each 10nmol/L increase in vitamin D in the blood was associated with a 0.78 mL/kg/min increase in VO2 max.

This was an observational study so it is impossible to say whether vitamin D improves exercise capacity but the association was strong and increased in a dose-dependent manner. It is interesting to think about it from an evolutionary perspective since humans used to perform most physical activity outside in the sunshine.