Studies have suggested a relationship between low circulating levels of Vitamin D and depression. Vitamin D deficiency may be a consequence of depression-related factors, such as reduced sun exposure, decreased outdoor activity, and dietary changes, but it can also play a role in the pathophysiology of depressive conditions through a range of molecular mechanisms. In the present manuscript, findings related to prospective longitudinal studies on the relationship between Vitamin D levels and depressive symptoms and to randomized controlled trials on Vitamin D supplementation for depressive disorders are reviewed.