A central role for vitamin D (VD) in immune modulation has recently been recognized linking VD insufficiency to autoimmune disorders that commonly exhibit sex-associated differences. Similar to other autoimmune diseases, there is a higher incidence of multiple sclerosis (MS) in women, but a poorer prognosis in men, often characterized by a more rapid progression. Although sex hormones are most likely involved, this phenomenon is still poorly understood. Oxidative stress, modulated by VD serum levels as well as sex hormones, may act as a contributing factor to demyelination and axonal damage in both MS and the corresponding preclinical models. In this study, we analyzed sex-associated differences and VD effects utilizing an animal model that recapitulates histopathological features of the progressive MS phase (PMS). In contrast to relapsing-remitting MS (RRMS), PMS has been poorly investigated in this context. Male (n = 50) and female (n = 46) Dark Agouti rats received either VD (400 IU per week; VD+) or standard rodent food without extra VD (VD-) from weaning onwards. Myelination, microglial activation, apoptotic cell death and neuronal viability were assessed using immunohistochemical markers in brain tissue. Additionally, we also used two different histological markers against oxidized lipids along with colorimetric methods to measure protective polyphenols (PP) and total antioxidative capacity (TAC) in serum. Neurofilament light chain serum levels (sNfL) were analyzed using single-molecule array (SIMOA) analysis. We found significant differences between female and male animals. Female rats exhibited a better TAC and higher amounts of PP. Additionally, females showed higher myelin preservation, lower microglial activation and better neuronal survival while showing more apoptotic cells than male rats. We even found a delay in reaching the peak of the disease in females. Overall, both sexes benefitted from VD supplementation, represented by significantly less cortical, neuroaxonal and oxidative damage. Unexpectedly, male rats had an even higher overall benefit, most likely due to differences in oxidative capacity and defense systems.