Depression is the most common debilitating psychiatric disease, the pathological mechanisms of which are associated with multiple aspects of neural function. While recent evidence has consistently suggested that a suboptimal vitamin D status is frequently observed in patients with depression, the results concerning whether vitamin D insufficiency is a causal factor of depression or is secondary to depressive behavior are conflicting; additionally, the lack of consistency of the method of vitamin D determination between labs has further worsened this confusion. Herein, we reviewed the neuroactivities of vitamin D that may be associated with depression and the current studies and clinical investigations to provide a full overview on the use of vitamin D in the treatment and prevention of depression.