Vitamin D deficiency is prevalent in human populations and has been linked to immune dysfunction. Here we explored the effects of cholecalciferol supplementation on circulating cytokines in severely vitamin D deficient [blood 25(OH)D << 30 nmol/L] adolescents aged 12–15 from Mongolia. The study included 28 children receiving 800 IU daily cholecalciferol for 6 months spanning winter and spring, and 30 children receiving placebo during the same period. The levels of 25(OH)D were assessed at baseline, 3 and 6 months. Twenty-one cytokines were measured in serum at baseline and at 6 months. Changes in 25(OH)D and cytokines were assessed using paired parametric tests. The median blood 25(OH)D concentration at baseline was 13.7 nmol/L (IQR = 10.0–21.7). Supplementation tripled blood 25(OH)D levels (p < 0.001) and was associated with elevated interleukin (IL)-6 (p = 0.043). The placebo group had reduced macrophage inflammatory protein (MIP)-1α (p = 0.007) and IL-8 (p = 0.034) at 6 months. Although limited by a small sample size, these findings suggest that cholecalciferol supplementation and seasonality may impact systemic immunity in adolescents, identifying chemokines as potentially important biomarkers of vitamin D status in this Northeast Asian population. Larger clinical trials are warranted to validate these results.