Major depressive disorder and anxiety disorders are common and disabling conditions that affect millions of people worldwide. Despite being different disorders, symptoms of depression and anxiety frequently overlap in individuals, making them difficult to diagnose and treat adequately. Therefore, compounds capable of exerting beneficial effects against both disorders are of special interest. Noteworthily, vitamin D deficiency has been associated with an increased risk of developing depression and anxiety, and individuals with these psychiatric conditions have low serum levels of this vitamin. Indeed, in the last few years, vitamin D has gained attention for its many functions that go beyond its effects on calcium–phosphorus metabolism. Particularly, antioxidant, anti-inflammatory, pro-neurogenic, and neuromodulatory properties seem to contribute to its antidepressant and anxiolytic effects. Therefore, in this review, we highlight the main mechanisms that may underlie the potential antidepressant and anxiolytic effects of vitamin D. In addition, we discuss preclinical and clinical studies that support the therapeutic potential of this vitamin for the management of these disorders.