Chronic kidney disease (CKD) is a highly prevalent condition worldwide in which the kidneys lose many abilities, such as the regulation of vitamin D (VD) metabolism. Moreover, people with CKD are at a higher risk of multifactorial VD deficiency, which has been extensively associated with poor outcomes, including bone disease, cardiovascular disease, and higher mortality. Evidence is abundant in terms of the association of negative outcomes with low levels of VD, but recent studies have lowered previous high expectations regarding the beneficial effects of VD supplementation in the general population. Although controversies still exist, the diagnosis and treatment of VD have not been excluded from nephrology guidelines, and much data still supports VD supplementation in CKD patients. In this narrative review, we briefly summarize evolving controversies and useful clinical approaches, underscoring that the adverse effects of VD derivatives must be balanced against the need for effective prevention of progressive and severe secondary hyperparathyroidism. Guidelines vary, but there seems to be general agreement that VD deficiency should be avoided in CKD patients, and it is likely that one should not wait until severe SHPT is present before cautiously starting VD derivatives. Furthermore, it is emphasized that the goal should not be the complete normalization of parathyroid hormone (PTH) levels. New developments may help us to better define optimal VD and PTH at different CKD stages, but large trials are still needed to confirm that VD and precise control of these and other CKD-MBD biomarkers are unequivocally related to improved hard outcomes in this population.