Vitamin D deficiency and sepsis are both significant global health problems. Insufficient vitamin D is considered to be a pathogenically relevant factor of sepsis-related deaths; however, a causal relationship has not yet been demonstrated. Recently, vitamin D has been an exciting field of research owing to the identification of vitamin D receptors on many extra skeletal tissues and cells, suggesting an unexpected role on body physiology, beyond its effects on bone homeostasis. However, while the role of vitamin D on bone health is widely understood and has been successfully translated into clinical applications and public health policies, recent evidence supporting its role in other physiological and pathological processes has not been fully established. In sepsis, there is an induction of local intracellular vitamin D activity by most immune cells, including lymphocytes, macrophages, neutrophils, and dendritic cells, as well as vascular endothelial cells, to ensure efficient clearance of infective microorganisms and mediate anti-inflammatory and tolerogenic effects. The literature suggests an association between low vitamin D levels and sepsis, but clinical trials have yielded contradictory results. A greater understanding of this role may improve disease management. This article reviews the available knowledge regarding vitamin D in immune function, emerging literature regarding the association between its deficiency and sepsis, as well as presenting its potential effect on platelet leukocyte aggregations (PLAs), a significant pathology in sepsis. It also summarizes clinical trials involving vitamin D supplementation during critical illness and sepsis and addresses the impact of relevant factors of sepsis pathogenesis on the efficacy of vitamin D supplementation, which could contribute to the reported inconsistencies. Looking ahead, further studies are required to uncover the possible modulatory relationship between vitamin D and sepsis to define better cut-offs for its levels, proper timing of its administration, and the optimum dosage for best management.