Depression is a mental disorder triggered by the interaction of social, psychological and biological factors that have an important impact on an individual's life. Despite being a well-studied disease with several established forms of treatment, its prevalence is increasing, especially among older adults. New forms of treatment and prevention are encouraged, and some researchers have been discussing the effects of vitamin D (VitD) on depression; however, the exact mechanism by which VitD exerts its effects is not yet conclusive. In this study, we aimed to discuss the possible mechanisms underlying the association between VitD and depression in older adults. Therefore, we conducted a systematic search of databases for indexed articles published until 30 April 2021. The primary focus was on both observational studies documenting the association between VitD and depression/depressive symptoms, and clinical trials documenting the effects of VitD supplementation on depression/depressive symptoms, especially in older adults. Based on pre-clinical, clinical and observational studies, it is suggested that the maintenance of adequate VitD concentrations is an important issue, especially in older adults, which are a risk population for both VitD deficiency and depression. Nevertheless, it is necessary to carry out more studies using longitudinal approaches in low- and middle-income countries to develop a strong source of evidence to formulate guidelines and interventions.