The beneficial effect of vitamin D on bone tissue has long been attributed mainly to its positive effect on the intestinal absorption of calcium and on bone mineralization, which increases the bone mineral density (BMD) and thus decreases the risk of fracture. Recently, numerous extra osseous effects of vitamin D have been described, amongst them a positive effect on neuromuscular and cognitive functions. Several lines of evidence suggest that the beneficial effects of vitamin D on fall and fracture risk can be explained more by its action on the neuromuscular and cognitive functions than by its direct effect on bone metabolism. In this review, we first report on the relationships between vitamin D and osteoporotic fracture risk. Then, we present the data from the literature regarding the effects of vitamin D on risk factors such as fall risk and reduction in BMD, physical performance, and cognitive performance. Specific emphasis is put on the latter because there is evidence of a relationship between low concentration of serum 25-hydroxyvitamin D (the primary indicator of vitamin D status) and low cognitive abilities which have been shown to be a risk factor for falling. It can be further suggested that high risk of fracture in cognitively impaired adults could be explained by lower protective reaction when falling, which would result, for instance, from a lack of planning and foresight of the fall. Future studies are nonetheless needed to elucidate the associations between vitamin D and different risk factors, in particular the link between vitamin D and various cognitive functions.