Vitamin D has multiple biological roles in addition to its well-established role in calcium and phosphate homeostasis and bone health. Of note, the potential neuroprotective effects of vitamin D have gained attention in recent years. In particular, its potential antidepressant effect has been suggested both by preclinical studies in animal models of depression and by human studies with vitamin D supplementation. Most studies have found an inverse association between serum 25(OH)D levels and depressive symptoms and the risk of major depressive disorder (MDD). In addition, most studies using vitamin D supplementation as monotherapy or as an adjunct to classical pharmacotherapy report a beneficial effect of vitamin D on depressive symptoms. However, the data are highly variable and further adequately controlled trials of vitamin D supplementation should be conducted. Preclinical studies have provided some insight into the antidepressant effects of vitamin D under laboratory-controlled conditions. Possible molecular mechanisms that appear to contribute to the antidepressant effects include antioxidant, anti-inflammatory, pro-neurogenic, and neuromodulatory properties of vitamin D. Studies have suggested that vitamin D plays a role in maintaining adequate levels of serotonin, BDNF, and synaptic proteins, as well as suppressing pro-inflammatory proteins in brain regions relevant to MDD. Molecular docking studies have suggested potential molecular targets that may play a role in the antidepressant effects of vitamin D that warrant further investigation. The characterization of such targets may improve antidepressant strategies with vitamin D as both a prophylactic and therapeutic strategy for the management of MDD.