Multiple sclerosis is an autoimmune treatable but not curable disease. There are a multiplicity of medications for multiple sclerosis therapy, including a class entitled disease-modifying drugs that are mainly indicated to reduce the number and severity of disease relapses. Not all patients respond well to these therapies, and minor to severe adverse effects have been reported. Vitamin D, called sunshine vitamin, is being studied as a possible light at the end of the tunnel. In this review, we recapitulated the similar immunopathogenesis of multiple sclerosis and experimental autoimmune encephalomyelitis, the immunomodulatory and neuroprotective potential of vitamin D and the state-of-art concerning its supplementation to multiple sclerosis patients. Finally, based on our and other groups’ experimental findings, we analyzed the need to consider the relevance of the route and the different time-point administration aspects for a more rational indication of this vitamin to multiple sclerosis patients.