Introduction: Vitamin D is related to resistance to chronic diseases, physiological parameters and functional measures. All of these relationships underscore the potential benefits of cholecalciferol or D3 (nutritional vitamin D) in cancer. This is the first study designed to obtain conclusive evidence on the effect of cholecalciferol in advanced patients with cancer. The main goal is to assess its effects on the patient’s perceived quality of life. Cholecalciferol’s impact on fatigue and physical performance, as well as its cost utility, will also be assessed. Methods and analysis: A randomised triple-blind phase II/III placebo-controlled multicentre trial has been designed. Patients satisfying the inclusion and exclusion criteria will be randomly assigned to receive cholecalciferol or placebo. Eligible patients will be adults with a locally advanced or metastatic or inoperable solid cancer in palliative care, who have given signed informed consent and have matched inclusion and exclusion criteria. The randomisation will be based on a computer-generated procedure and centralised by the pharmacy service of the coordinating centre. The assigned treatment will be administered by the hospital’s pharmacy to conceal group allocation for patients and healthcare providers. Cholecalciferol (4000 IU/day) or placebo, starting at day 15 and continuing up to day 42, will be added to palliative care treatment. Outpatient visits will be scheduled every 14 days. Ethics and dissemination: Ethical approval was received from the Medical Ethical Commitee of the HUAV (CEIC-1169). Participants and their families will receive the research findings which will also be disseminated on local and national media, presented at national and international meetings of the specialty, and published in peer-reviewed scientific journals. Trial registration number: EudraCT: 2013-003478-29