Evidence for a role for vitamin D in non-alcoholic fatty liver disease (NAFLD) pathogenesis is conflicting. As Mendelian randomisation (MR) avoids many limitations of conventional observational studies, this two-sample bidirectional MR analysis was conducted to determine the following: (i) whether genetically predicted 25-hydroxyvitamin D [25(OH)D] levels are a risk factor for NAFLD, and (ii) whether genetic risk for NAFLD influences 25(OH)D levels. Single-nucleotide polymorphisms (SNPs) associated with serum 25(OH)D levels were obtained from the European ancestry-derived SUNLIGHT consortium. SNPs associated with NAFLD or NASH (p-value < 1 × 10−5) were extracted from previous studies and supplemented by genome-wide association studies (GWASs) performed in the UK Biobank. These GWASs were done both without (primary analysis) and with (sensitivity analysis) the population-level exclusion of other liver diseases (e.g., alcoholic liver diseases, toxic liver diseases, viral hepatitis, etc.). Subsequently, MR analyses were performed to obtain effect estimates using inverse variance weighted (IVW) random effect models. Cochran’s Q statistic, MR-Egger regression intercept, MR pleiotropy residual sum and outlier (MR-PRESSO) analyses were used to assess pleiotropy. No causal association of genetically predicted serum 25(OH)D (per standard deviation increase) with risk of NAFLD was identified in either the primary analysis: n = 2757 cases, n = 460,161 controls, odds ratio (95% confidence interval): 0.95 (0.76, −1.18), p = 0.614; or the sensitivity analysis. Reciprocally, no causal association was identified between the genetic risk of NAFLD and serum 25(OH)D levels, OR = 1.00 (0.99, 1.02, p = 0.665). In conclusion, this MR analysis found no evidence of an association between serum 25(OH)D levels and NAFLD in a large European cohort.