Vitamin D plays an active role beyond mineral metabolism and skeletal health, including regulation of the immune system. Vitamin D deficiency is widely prevalent, and observational studies link low vitamin D status to a risk of infections and auto-immune disorders. Reports indicate an inverse relationship between vitamin D status and such conditions. This review details vitamin D signalling interactions with the immune system and provides experimental and clinical evidence evaluating vitamin D status, vitamin D supplementation and host susceptibility to infections, inflammation and auto-immunity. The published literature including related reviews, systematic reviews, meta-analyses, randomised controlled trials (RCTs), observational studies and basic science reports have been synthesised. Meta-analyses of observational studies have demonstrated a link between low vitamin D status and risk of acute respiratory infections, COVID-19 disorders, multiple sclerosis, type 1 diabetes (T1DM), inflammatory bowel disease (IBD), systemic lupus erythematosus and other auto-immune disorders. Observational studies suggest that vitamin D supplementation may protect against several infectious and auto-immune conditions. Meta-analyses of RCTs had mixed results, demonstrating a small protective role for vitamin D supplementation against acute respiratory infections, especially in those with vitamin D deficiency and children, and providing modest benefits for the management of T1DM and IBD. Vitamin D status is inversely associated with the incidence of several infectious and auto-immune conditions. Supplementation is recommended for those with vitamin D deficiency or at high risk of deficiency, and it might provide additional benefit in acute respiratory infections and certain auto-immune conditions.