This review exposes recent advances on the role of vitamin D, cholecalciferol, a secosteroid, in the central nervous system. In humans, vitamin D arises from cutaneous transformation of 7-dehydrocholesterol under the effect of UVB exposure or from food intake. Vitamin D has an immunomodulatory role through its anti-inflammatory and anti-autoimmune actions. In the nervous system, vitamin D is involved in the regulation of calcium-mediated neuronal excitotoxicity, in the reduction of oxidative stress, and in the induction of synaptic structural proteins, neurotrophic factors and deficient neurotransmitters. Reduced exposure to sunlight and low food intake can lead to vitamin D deficiency. Increasing evidence highlights the impact of vitamin D deficiency as a favoring factor in various central or peripheral neurological diseases, especially multiple sclerosis and several neurodegenerative diseases, such as amyotrophic lateral sclerosis, Parkinson's disease and Alzheimer's disease. Recently, several clinical trials on vitamin D supplementation stressed the role of vitamin D as a protective and/or prognostic factor in the onset and progress of such neurological conditions.