The vitamin D endocrine system regulates a broad variety of independent biological processes, and its deficiency is associated with rickets, bone diseases, diabetes, cardiovascular diseases, and tuberculosis. Cellular and molecular studies have also shown that it is implicated in the suppression of cancer cell invasion, angiogenesis, and metastasis. Sunlight exposure and consequent increased circulating levels of vitamin D are associated with reduced occurrence and a reduced mortality in different histological types of cancer, including those resident in the skin, prostate, breast, colon, ovary, kidney, and bladder. The vitamin D receptor (VDR) as a steroid hormone superfamily of nuclear receptors is highly expressed in epithelial cells at risk for carcinogenesis, providing a direct molecular link by which vitamin D status impacts on carcinogenesis. Because VDR expression is retained in many human tumors, vitamin D status may be an important modulator of cancer progression in persons living with cancer. The aim of this review is to highlight the relationship between vitamin D, VDR, and cancer, summarizing several mechanisms proposed to explain the potential protective effect of vitamin D against the development and progression of cancer.