Vitamin D (VD) is a steroid prohormone that regulates the body's calcium and phosphate levels in bone mineralization. It is also well described as a fat-soluble vitamin playing an important role in immunomodulation, regulation of cytokines, and cell proliferation. Thus, VD is a powerful hormone with pleiotropic effects, which acts to maintain optimal health. Recent studies demonstrate that VD deficiency is associated with the development of cardiovascular diseases, autoimmune disorders, and various types of cancer, each associated with increased mortality rates. VD deficiency is commonly seen in the intensive care unit (ICU); it aggravates the incidence and outcome of infectious complications in critically ill patients. In particular, VD deficiency is associated with an increased risk of sepsis and more severe clinical outcomes in patients with sepsis. These patients have dysregulated VD metabolism and frequently present insufficient plasma VD levels, which contribute to the deterioration of their clinical state. In this review, we summarize the role of VD in the immune system, the consequences of its deficiency and we discuss potential perspectives on VD supplementation in preventing sepsis and enhancing patient recovery. Although the relevance of the applications of VD in sepsis is stated, further studies are required to elucidate the optimal VD plasma levels and the recommended daily intake.