Previous studies have shown that vitamin D has beneficial effects on respiratory health. The role of inflammation as a possible mediator between vitamin D and respiratory health is not well understood. We used National Health and Nutrition Examination Survey 2001–2006 data (unweighted N = 12,856) to examine the mediating effects of biomarkers of inflammation on associations between vitamin D and respiratory health. Vitamin D was measured by serum 25 hydroxy vitamin D test. Respiratory health was measured by self-reported respiratory symptoms and chronic obstructive pulmonary disease (COPD). Biomarkers included C-reactive protein (CRP), alkaline phosphatase (AP), and five leukocyte measures. Models controlled for season, age, sex, race/ethnicity, body mass index, and current and former smoking. Lower levels of vitamin D were significantly associated with respiratory symptoms (linear trend p < 0.01) and with COPD (linear trend p < 0.0002) after adjusting for covariates. Adding biomarkers to the models to test for mediation, the vitamin D effect on respiratory health was not a consequence of any single marker but was partially attenuated as a combined result of leukocytes, AP, and CRP. Vitamin D is beneficial to improve respiratory health. Its benefits do not appear to be mediated by any single biomarker examined in this study; rather, benefits of vitamin D may act broadly through multiple mediating mechanisms.