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Vitamin D is a steroid hormone that has been widely studied as a potential therapy for multiple sclerosis and other inflammatory disorders. Pre-clinical studies have implicated vitamin D in the transcription of thousands of genes, but its influence may vary by cell type. A handful of clinical studies have failed to identify an in vivo gene expression signature when using bulk analysis of all peripheral immune cells. We hypothesized that vitamin D’s gene signature would vary by immune cell type, requiring the analysis of distinct cell types. Multiple sclerosis patients (n = 18) were given high-dose vitamin D (10,400 IU/day) for six months as part of a prospective clinical trial (NCT01024777). We collected peripheral blood mononuclear cells from participants at baseline and again after six months of treatment. We used flow cytometry to isolate three immune cell types (CD4+ T-cells, CD19+ B-cells, CD14+ monocytes) for RNA microarray analysis and compared the expression profiles between baseline and six months. We identified distinct sets of differentially expressed genes and enriched pathways between baseline and six months for each cell type. Vitamin D’s in vivo gene expression profile in the immune system likely differs by cell type. Future clinical studies should consider techniques that allow for a similar cell-type resolution.