Vitamin D is indicated to be beneficial for the prevention and treatment of both respiratory health and mental health problems, while mental health issues are a common consequence of diseases of the respiratory system. The aim of the presented systematic review was to gather available evidence regarding the influence of the supplementation of vitamin D on mental health in adults with respiratory system diseases obtained within randomized controlled trials (RCTs). The systematic review was conducted on the basis of the PubMed and Web of Science databases in agreement with the guidelines of Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA), while being registered within the database of the International Prospective Register of Systematic Reviews (PROSPERO) (CRD42020155779). A total of 8514 studies published before September 2021 were screened and 5 RCTs were included, which were assessed using the revised Cochrane risk-of-bias tool for randomized trials. Screening, inclusion, reporting, and assessment were conducted by two researchers independently. The studies focused on the assessment of patients with chronic obstructive pulmonary disease, but also increased susceptibility to respiratory tract infections, pulmonary tuberculosis, and bronchial asthma. The studies were conducted for various periods of time—from 2 months to a year—while the dose of vitamin D applied was also diverse—from 4000 IU applied daily, to 100,000 IU applied weekly, or monthly. The psychological measures applied within the studies allowed the assessment, mainly, of quality of life, but also well-being, and depression. For the majority of studies, some concerns regarding risk of bias were defined, resulting from the randomization process and selection of reported results; however, for one study, the risk was even defined as high. Within the included studies, three studies confirmed a beneficial effect of vitamin D (including those with a high risk of bias), but two studies did not confirm it. Taking into account the evidence gathered, in spite of a positive influence of vitamin D on mental health in individuals with increased susceptibility to respiratory tract infections and bronchial asthma, the conducted systematic review is not a strong confirmation of the beneficial effect of the supplementation of vitamin D on mental health in adults with respiratory system diseases.