Vitamin D deficiency has become a widespread public health problem owing to its potential adverse health effects. Generally, the nutritional status of vitamin D depends on sunlight exposure and dietary or supplementary intake. However, recent studies have found that exercise can influence circulating 25(OH)D levels; although, the results have been inconclusive. In this review, we focused on the effect of exercise on circulating vitamin D metabolites and their possible mechanisms. We found that endurance exercise can significantly increase serum 25(OH)D levels in vitamin D-deficient people but has no significant effect on vitamin D-sufficient people. This benefit has not been observed with resistance training. Only chronic endurance exercise training can significantly increase serum 1,25(OH)2D, and the effect may be sex-dependent. Exercise may influence 25(OH)D levels in the circulation by regulating either the vitamin D metabolites stored in tissues or the utilization by target tissues. The effects of exercise on 25(OH)D levels in the circulation may be dependent on many factors, such as the vitamin D nutritional status, exercise type and intensity, and sex. Therefore, further research on the effects and mechanisms of exercise on vitamin D metabolites is required.