Severe environmental shocks have grown in frequency and intensity due to climate change. Can policy protect against the often devastating human impacts of these shocks, particularly for vulnerable populations? We study this question by leveraging data from a situation in which a tornado tore through an area involved in a double-blind cluster-randomized controlled trial of at-birth vitamin A supplementation in Bangladesh. Tornado exposure in utero and in infancy decreased birth size and physical growth, and increased the incidence of severe fevers. But infants who received vitamin A supplementation, which boosts immune system functioning, were protected from these effects. Tornado impacts and protective effects were both substantially larger for boys. Our results suggest that wide-scale supplementation policies would generate potential health benefits in disaster-prone areas of low-income countries.