Vitamin D, a fat-soluble vitamin, plays a role not only in calcium and phosphate homeostasis but also in several other functions, including cell growth and neuromuscular and immune function. The deficiency of vitamin D is highly prevalent throughout the world and has been suggested to be associated with an enhanced risk of major depressive disorder (MDD) and anxiety disorders. Therefore, vitamin D supplementation has been investigated for the prevention and treatment of these disorders. This review presents preclinical and clinical evidence of the effects of vitamin D supplementation in these disorders. Although preclinical studies provide limited evidence on the possible mechanisms underlying the beneficial effects of vitamin D for the management of these disorders, most of the clinical studies have indicated that vitamin D supplementation is associated with the reduction of symptoms of depression and anxiety, particularly when the supplementation was carried out in individuals with an MDD diagnosis (of the 13 studies in which MDD diagnosis was established, 12 had positive results with vitamin supplementation). However, some heterogeneity in the outcomes was observed and might be associated with an absence of overt psychiatric symptoms in several studies, genetic polymorphisms that alter vitamin D metabolism and bioavailability, differences in the supplementation regimen (monotherapy, adjunctive therapy, or large bolus dosing), and levels of 25-hydroxyvitamin D3 (25(OH)D) at baseline (individuals with low vitamin D status may respond better) and attained after supplementation. Additionally, factors such as sex, age, and symptom severity also need to be further explored in relation to the effects of vitamin D. Therefore, although vitamin D may hold significant potential for mental health, further preclinical and clinical studies are clearly necessary to better understand its role on mood/affect modulation.