Prior research suggests that vitamin D protects against lung cancer only among certain subgroups. We investigated whether vitamin D intake was associated with lung cancer and explored whether vitamin A intake modified the association. Prospective cohort data from 128,779 postmenopausal women, including 1771 incident lung cancers in the Women’s Health Initiative (Clinical Trials and Observational Study) 1993–2010, were analyzed. Twelve percent of women received active intervention (1 g Ca + 400 IU vitamin D3/d) in the Calcium/Vitamin D Trial. Baseline total intake included both dietary intake (from food-frequency questionnaires) and supplement intake (from bottle labels). HRs were estimated by Cox proportional hazard models. No significant association was observed overall. Among never smokers, a total vitamin D intake ≥400 IU/d was significantly associated with lower risks of lung cancer (HR: 0.37; 95% CI: 0.18, 0.77 for ≥800 compared with <100 IU/d; P-trend = 0.01). No significant effect modification of total vitamin A intake on the association between total vitamin D intake and lung cancer was found. However, the Calcium/Vitamin D Trial active intervention was significantly associated with a lower lung cancer risk only among women with a vitamin A intake <1000 μg/d retinol activity equivalents (HR: 0.69; 95% CI: 0.50, 0.96; P-interaction = 0.09). Vitamin D intake was associated with a lower lung cancer risk in never-smoking, postmenopausal women. Lower vitamin A intake may be important for a beneficial association of 1 g Ca + 400 IU vitamin D3 supplementation with lung cancer. This trial was registered at clinicaltrials.gov as NCT00000611.