Inconsistency exists across studies conducted in postmenopausal women regarding the effect of vitamin D deficiency (VDD) and supplementation on several aspects of menopausal health, such as fractures, vasomotor symptomatology, cardiovascular disease (CVD), cancer and infections, including coronavirus disease 2019 (COVID-19). The aim of this review is to critically summarize the evidence provided by observational studies and randomized controlled trials (RCTs) of vitamin D supplementation in postmenopausal women with VDD. Observational studies have found that VDD is associated with an increased risk of falls and fractures after the menopause. VDD also has a negative effect on menopausal symptomatology. VDD, especially its severe form, is associated with an increased risk of CVD risk factors and CVD events. VDD is associated with increased risk and mortality from several cancer types and risk of infections. The evidence from RCTs regarding the effect of vitamin D supplementation on falls, fractures, menopausal symptoms, cardiovascular disease, cancer and infections is not robust. Thus, skeletal health may benefit only when vitamin D is co-administered with calcium, especially in those ≥70 years old and with severe VDD. There is no evidence of a favorable effect on menopausal symptoms or risk of CVD or cancer, except for a modest reduction in cancer-related mortality. Inconsistency still exists regarding its effect on infection risk, disease severity and mortality due to COVID-19.