Athletes may be predisposed to low vitamin D concentrations, with studies reporting a high prevalence of athletes with a vitamin D concentration below 50 nmol/L across a range of sports and geographical locations, particularly over the winter months. It is well documented that vitamin D is important for osseous health by enhancing calcium absorption at the small intestine; however, emerging research suggests that vitamin D may also benefit a plethora of extra-skeletal target tissues and systems. There is strong evidence that vitamin D is capable of regulating both innate and adaptive immune processes via binding of active vitamin D to its complementary receptor. Supplementation with vitamin D may also enhance skeletal muscle function through morphological adaptations and enhanced calcium availability during cross-bridge cycling; however, an exact mechanism of action is yet to be elucidated. Such findings have prompted research into the importance of maintaining vitamin D concentrations over wintertime and the possible physiological and immunological benefits of vitamin D supplementation in athletes. The following review critically evaluates existing literature and presents novel perspectives on how vitamin D may enhance athletic performance.