Recent studies have shown that insufficient or deficient vitamin D status may be linked to increased risk of depressive conditions or depression. The aim of this study was to review all available evidence on vitamin D, depression, and any association between them. Cross-sectional, case-control, and cohort studies have reported contradictory results. Some have reported that low levels of vitamin D may be associated with higher risk of depression or depressive symptoms while others reported that vitamin D status may not be related to depression. Recent clinical trials examining the effects of vitamin D supplementation on depression have also showed discrepant results. However, meta-analysis study results are consistent regarding the beneficial effects of vitamin D. Several mechanisms that account for these beneficial effects of vitamin D on depression have been reported but remain largely speculative. Vitamin D deficiency is very common, and prevalence of depression is increasing in the Asian population, especially females. However, limited literature is available on this population. Considering research results of a potential inverse association between vitamin D level and prevalence of depression, it is important to advance our understanding of the role of vitamin D in depression and conduct well-designed prospective trials in the Asian population.