Background: Exercise or vitamin D intervention can reduce the risk of arterial stiffness; however, the underlying mechanisms of lipid metabolism remain unexplored. To examine the effects of a 12-week moderate and vigorous exercise program (65–80% maximal heart rate, 60 min/time, 2~3 times/week) with or without vitamin D supplementation (1000 IU/day) on the reduction in arterial stiffness and further explore whether the effects of interventions could be associated with the basal lipidome among patients with Type 2 diabetes mellitum (T2DM). Method: 61 patients with T2DM were randomly assigned to the following groups: control (CON, n = 15), exercise (EX, n = 14), vitamin D (VD, n = 16), and exercise + vitamin D (EX + VD, n = 16). Arterial stiffness risk factors (ankle–brachial index (ABI); brachial–ankle pulse wave velocity (baPWV), systolic blood pressure (SBP), and diastolic blood pressure (DBP)) were evaluated before and after the intervention. The plasma lipidome was determined using ultra-performance liquid chromatography coupled with tandem mass spectrometry. Machine learning was applied to establish prediction models for the responsiveness to arterial stiffness. Result: Vitamin D supplementation could inhibit the decrease in the ankle–brachial index (mean ± SD: EX + VD and VD, −0.001 ± 0.058; EX + CON, −0.047 ± −0.089; p = 0.03). We observed high inter-individual variability in the arterial stiffness risk factors in response to the interventions. We also found that optimally selecting the lipid predictors at baseline, such as SM d44:6, LPE 18:2, and Hex2Cer 29:0, could enhance the predictive power by 100% for arm SBP changes in the exercise group. Basal levels of Cer (33:1) and GM3 (44:4) could enhance the predictive power by 100% for changes in baPWV in the vitamin D group. Conclusions: A 12-week vitamin D supplementation was beneficial in preventing arterial stiffness. Compared with traditional clinical risk factors, specific lipids at baseline could significantly improve the ability to predict intervention-induced changes in the reduction of arterial stiffness.