Background: Adults with celiac disease (CeD) show low bone mineral density (BMD) and high fracture risk. CeD guidelines suggest measurements of serum minerals and vitamin D. However, studies on vitamin levels in CeD patients are contradictory. Aim: To investigate in CeD, 25-hydroxy-vitamin D [25(OH)D], 1,25-dihydroxy-vitamin D [1,25(OH)2D], and related analytes and to evaluate their relationships to peripheral BMD as assessed by peripheral quantitative computed tomography (pQCT). Methods: Gluten-free diet (GFD)-treated, and untreated adult CeD patients naïve to vitamin D and calcium supplementation underwent measurements of serum 25(OH)D, 1,25(OH)2D, parathyroid hormone (PTH), total calcium, phosphate, and of radius BMD by pQCT. Results: Complete data were collected in 105 patients for lab tests and 87 patients for BMD. For lab tests, untreated CeD differed from treated CeD for 22.0% lower serum 25(OH)D (p = 0.023), 42.5% higher serum PTH (p < 0.001), and 13.0% higher serum 1,25(OH)2D (p = 0.029) in the presence of similar serum calcium and phosphorus (p > 0.35). For BMD, untreated CeD differed from treated CeD for lower diaphyseal cortical BMD (1133 and 1157 mg/cm3, p = 0.004) but not for distal BMD (total, trabecular, and subcortical, p > 0.13). Independent correlates of diaphyseal cortical BMD were GFD treatment and body mass index (p < 0.05). Conclusions: Data indicated that, compared to CeD patients on a gluten-free diet, untreated adult CeD patients at diagnosis had lower 25(OH)D, higher PTH, and higher 1,25(OH)2D in the absence of difference in serum calcium and phosphorus. 25(OH)D and 1,25(OH)2D, even below the normal range, were not associated with BMD. Our findings do not support the use of vitamin D supplementation for all CeD adults.