Vitamin D plays an essential role in the regulation of skeletal metabolism as well as calcium and phosphate homeostasis, while vitamin D receptor (VDR) regulates de novo lipid synthesis, thereby contributing to the development of obesity. Furthermore, obese individuals are at a greater risk for vitamin D deficiency which may increase the potential risk for chronic inflammation, insulin resistance, and metabolic syndrome. While acute exercise enhances the activation of inflammatory signaling pathways, chronic exercise training may attenuate elevated pro-inflammatory cytokine production, resulting in the improvement of cardiovascular and metabolic health in obese individuals. Supplementation with vitamin D coupled with exercise or mild caloric restriction has been shown to improve markers of fitness and inflammation as well as cholesterol. Therefore, this review primarily addresses the impact of vitamin D deficiency in obesity-related inflammatory imbalances and how exercise and weight-loss interventions may enhance the beneficial effects on vitamin D-mediated inflammation in obesity.