Vitamin D is known to have a positive effect on bone health. Despite the greater frequency of vitamin D deficiency in African Americans (AA), they have a higher bone mineral density (BMD) compared to whites, demonstrating a disconnect between BMD and vitamin D levels in AA. Another intriguing relationship seen in AA is the triglyceride (TG) paradox, an unusual phenomenon in which a normal TG status is observed even when patients house conditions known to be characterized by high TG levels, such as Type II diabetes. To the best of our knowledge, no study has examined whether these two paradoxical relationships exist simultaneously in AA subjects with Type II diabetes. In this study, we compared levels of blood markers, including HbA1c, TG, and vitamin D, measured as serum 25-hydroxyvitamin D [25(OH)VD] µM/mL, [25(OH)VD]/TG, calcium, and BMD in AA (n = 56) and white (n = 26) subjects with Type II diabetes to see whether these relationships exist concurrently. We found that AA subjects had significantly lower TG and [25(OH)VD] levels and a significantly higher BMD status compared to white subjects, even when the ages, BMI, duration of diabetes, HbA1c, and calcium levels were similar between the two groups. This demonstrates that these two paradoxical relationships exist simultaneously in Type II diabetic AA subjects. In addition to these findings, we discuss the current hypotheses in the literature that attempt to explain why these two intriguing relationships exist. This review also discusses four novel hypotheses, such as altered circulating levels and the potential role of estrogen and hydrogen sulfide on BMD and HMG-CoA reductase as a possible contributor to the TG paradox in AA subjects. This manuscript demonstrates that there are still many unanswered questions regarding these two paradoxical relationships and further research is needed to determine why they exist and how they can be implemented to improve healthcare.