Vitamin D deficiency is considered a major public health problem worldwide and has been reported as having an association with depression. However, studies on the association between vitamin D deficiency and depressive symptoms in secondary amenorrhea (SA) patients are still scarce. This study examined the relationship between serum 25-hydroxyvitamin D (25(OH)D) levels and depressive symptoms among Korean women with SA. In this cross-sectional observational study, 78 patients with SA were initially recruited. Clinical and biochemical parameters, including serum 25(OH)D level, were measured. Data from 63 SA patients who met the study inclusion criteria and completed psychiatric assessments were finally analyzed. We analyzed their association with depression using a hierarchical regression model. The average serum 25(OH)D level was 34.40 ± 24.02 ng/mL, and 41.3% of the women with SA were vitamin D-deficient (<20 ng/mL). The total score of the Korean version of the Hamilton Depression Rating Scale (K-HDRS) was negatively related to serum 25(OH)D levels, free testosterone, and serum anti-Müllerian hormone (AMH) after adjusting for age and BMI (r = −0.450, p < 0.001; r = −0.258, p = 0.045; and r = −0.339, p = 0.006, respectively). Serum 25(OH)D levels and AMH levels were the most powerful predictors of depressive severity when using the K-HDRS in SA patients (β = −0.39, p < 0.005; β = −0.42, p < 0.005, respectively). This study showed that low serum 25(OH)D levels were associated with the severity of depressive symptoms in SA patients. This observation suggests that the evaluation of vitamin D deficiency for the risk of depression may be necessary in patients with SA.