Vitamins K exert a range of activities that extend far beyond coagulation and include anti-inflammatory effects, but the mechanisms involved in anti-inflammatory action remain unclear. In the present study, we showed that various forms of exogenous vitamins—K1, K3, K2 (MK-4, MK-5, MK-6 and MK-7)—regulated a wide scope of inflammatory pathways in murine macrophages in vitro, including NOS-2, COX-2, cytokines and MMPs. Moreover, we demonstrated for the first time that macrophages are able to synthesise endogenous MK-4 on their own. Vitamins with shorter isoprenoid chains—K1, K3 and MK-5—exhibited stronger anti-inflammatory potential than vitamins with longer isoprenoid chains (MK-6 and MK-7) and simultaneously were preferably used as a substrate for MK-4 endogenous production. Most interesting, atorvastatin pretreatment inhibited endogenous MK-4 production but had no impact on the anti-inflammatory activity of vitamin K. In summary, our results demonstrate that macrophages are able to synthesise endogenous MK-4 using exogenous vitamin K, and statin inhibits this process. However, the anti-inflammatory effect of exogenous vitamin K was independent of endogenous MK-4 synthesis.