Just thought I would make a contribution to this thread as I have also experienced side effects from taking Vitamin D3. I could only take it for about 2 days before I experienced severe anxiety and depression and just generally feeling a bit rubbish and increased thirst and urination, also experienced hair loss (patches of alopecia) from taking D3. I tried taking it with various forms of magnesium but this didn't help ( I was already taking Magnesium before I first started taking Vitamin D anyway).
Recently I decided to start supplementing with Pantothenic Acid (vitamin B5) just to help me cope when I get a bit stressed at work. Whilst I was researching B5 I found various websites stating that B5 is needed to metabolise Vitamin D and other fats and fat soluble vitamins. It also helps to make Vitamin D from sunlight as well as aid in the synthesis of other steroid hormones from fats and cholesterol.
Having read this and been on B5 for about a week I decided to try Vitamin D3 again after numerous attempts within the last 2-3 years. I've been taking B5 for the past 2 weeks and I restarted D3 1 week ago and I have had no issues with anxiety or depression at all, in fact I've had the complete opposite, very balanced and good mood and good energy and concentration. I think this is mainly from the B5 but it could also be the D3, I just find it odd that I no longer have anxiety or depression from taking D3, could be that the B5 is helping me utilise it without loads of free potentially unutilised D3 floating around in my system.
Just thought it was worth mentioning for those struggling with Vitamin D3
Edit: I take 500mg of Pantothenic Acid twice daily, I also take a B- complex every other day with some extra Biotin as B5 can deplete Biotin (they are absorbed at the same site in the intestines)