No.
Vitamin supplements are unnecessary (and of course possibly even harmful) unless you suffer from an overt deficiency. Except for some of the B vitamins (which you will get more of simply because you will eat more), vitamin needs are also not increased by regular exercise.
Protein needs do seem to be elevated by both endurance and resistance training. However, a normal mixed diet already generally contains enough protein to meet even these elevated needs.
Notably, although acute protein or amino acid supplementation has been repeatedly shown to increase muscle protein synthesis, studies of chronic supplementation have failed to demonstrate any benefits. (IOW, much of the work of Phillips, Tipton, etc., seems to be built on a house of cards.)