Over the past decade, knowledge of the pathophysiology and immunology of multiple sclerosis (MS) and depression, and the complex links to vitamin D (VitD) balance, has increased rapidly. Both diseases are characterized by an imbalance of proinflammatory and antiinflammatory cytokines, increased serum neurofilament light chains (sNfLs), disruption of the blood-brain barrier (BBB), abolition of the physiological function of the various types of microglia (MG), decreased calcidiol-serum levels, and disorders of the gut microbiome in combination with hyperactivity of the hypothalamic-pituitary-adrenal (HPA)-axis/microbiome-gut-brain-axis characterized. In depression, stress initiates cellular and molecular changes in the brain via increased cortisol release in the HPA-axis. Microglial activation and neuronal damage as well as dysregulation of neuroplastic and neurotrophic factors complete the spectrum of pathological damage. It is shown that gut dysbiosis leads to increased gut permeability, which favors endotoxemia and ultimately paves the way to systemic inflammation. A VitD supplementation could restore the balance of microorganisms in the intestine and reduce the inflammatory processes at various levels. VitD promotes regulatory T cell (Treg) proliferation, inhibits the expression of T helper 1 (Th1) cells and Th17 immune cells, and inhibits proinflammatory interleukin-17 (IL-17). 1,25-dihydroxyvitamin D3 [1,25(OH)2D3] reduces also the secretion of interferon-γ (IFN-γ) and tumor necrosis factor-α (TNF-α). Increased calcitriol levels lead to a reduction in MG activation, oxidative stress, and lower BBB permeability. An early, permanent, daily sufficient VitD supplementation as an add-on therapy under control of the serum 25-hydroxyvitamin D [s25(OH)D] levels is an essential therapeutic tool to slow down the disability caused by MS and thereby primarily prevent or reduce the stress and subsequently the manifestation of depression. Through the future continuous measurement of the biomarkers serum neurofilament ligth chains and glial fibrillary acidic proteins as well as the s25(OH)D level in MS and comorbidity depression, future therapy successes or failures can be avoided.