The active form of vitamin D (1α,25-dihydroxyvitamin D, 1,25(OH)2D) exerts its genomic effects via binding to a nuclear high-affinity vitamin D receptor (VDR). Recent deep sequencing analysis of VDR binding locations across the complete genome has significantly expanded our understanding of the actions of vitamin D and VDR on gene transcription. However, these studies have also promoted appreciation of the extra-transcriptional impact of vitamin D on gene expression. It is now clear that vitamin D interacts with the epigenome via effects on DNA methylation, histone acetylation, and microRNA generation to maintain normal biological functions. There is also increasing evidence that vitamin D can influence pre-mRNA constitutive splicing and alternative splicing, although the mechanism for this remains unclear. Pre-mRNA splicing has long been thought to be a post-transcription RNA processing event, but current data indicate that this occurs co-transcriptionally. Several steroid hormones have been recognized to coordinately control gene transcription and pre-mRNA splicing through the recruitment of nuclear receptor co-regulators that can both control gene transcription and splicing. The current review will discuss this concept with specific reference to vitamin D, and the potential role of heterogeneous nuclear ribonucleoprotein C (hnRNPC), a nuclear factor with an established function in RNA splicing. hnRNPC, has been shown to be involved in the VDR transcriptional complex as a vitamin D-response element-binding protein (VDRE-BP), and may act as a coupling factor linking VDR-directed gene transcription with RNA splicing. In this way hnRNPC may provide an additional mechanism for the fine-tuning of vitamin D-regulated target gene expression.