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Background: Physical activity and vitamin D receptor (VDR) have been associated with type 2 diabetes mellitus (T2DM). However, the associations of VDR methylation with T2DM and physical activity remained unknown. We aimed to investigate whether VDR methylation was a link between physical activity and T2DM. Methods: A 1:1 matching case‐control study was designed based on the Henan Rural Cohort Study, including 272 pairs of T2DM patients and nonpatients. Physical activity level was assessed using the International Physical Activity Questionnaire. The high‐resolution melt method was applied to determine the methylation level of the promoter region of VDR. The association between physical activity and T2DM was analyzed with a conditional logistic regression model. The effect modification of VDR methylation levels on the association between physical activity and T2DM was conducted. A multivariate correlation analysis model was applied to investigate correlations of VDR methylation with insulin sensitivity. Results: Physical activity level was associated with T2DM risk (crude model: odds ratio [OR] 0.611; 95% CI, 0.416‐0.897; adjusted model: OR 0.619; 95% CI, 0.418‐0.917). In effect modification analysis, the effects of physical activity on T2DM were stronger for low VDR methylation levels than for high (P =.025). Moreover, VDR methylation levels were associated with insulin (r = −0.089, P =.039) as well as homeostatic model assessment of insulin resistance (r = −0.098, P =.022). Conclusions: The methylation status of the VDR promoter is associated with the secretion and sensitivity of insulin. VDR methylation attenuates the association between physical activity and T2DM, indicating that proactively physical activity may reduce the risk of T2DM, especially in people with low VDR methylation level. [ABSTRACT FROM AUTHOR]