Background: This study evaluates the association between vitamin A levels, AIP (the atherogenic index of plasma), and subclinical hypothyroidism. Methods: A cross-sectional analysis was conducted involving a representative sample of 3530 Chinese adults. Linear and logistic regression models were utilized to evaluate the associations between AIP and subclinical hypothyroidism, stratified by vitamin A levels. These analyses were further differentiated by sex and age groups to identify any demographic-specific associations. Results: In the vitamin A-sufficient group, an increase in AIP was associated with elevated total triiodothyronine (TT3) levels (β = 0.26, 95%CI: 0.09, 0.41, p = 0.003). Conversely, in the group with severe vitamin A deficiency, higher AIP levels were linked to increased free triiodothyronine (fT3) and TT3 levels and decreased free thyroxine (fT4) levels (β = 0.12, 0.03, and −0.29, respectively). Additionally, severe vitamin A deficiency increased the risk associated with AIP and subclinical hypothyroidism (OR = 1.66, 95%CI: 1.07, 2.58, p = 0.025). This risk was notably more pronounced in women and older adults, with odds ratios of 2.44 (95%CI: 1.55, 3.86, p < 0.001) and 2.14 (95%CI: 1.36, 3.38, p = 0.001), respectively. Conclusions: Vitamin A deficiency may increase the risk of the association between AIP and subclinical hypothyroidism, particularly among women and the elderly.