Since the identification of vitamin D receptors in both the female reproductive tract and the central nervous system, further data have shown that vitamin D is involved in the processes of reproductive and mental health. This paper reviews current research on the associations of vitamin D with ovarian reserve markers and depression and discusses the potential role of vitamin D in their relationships. There have been numerous studies reporting that vitamin D was significantly related to ovarian reserve markers and depression in basic or clinical research, but some observational and interventional clinical studies have shown inconsistent results. Nevertheless, recent meta-analyses of interventional studies have provided promising results showing that vitamin D supplementation significantly improves ovarian reserve metrics, especially in a subgroup of women with normal or diminished ovarian reserve, and decreases depressive symptoms and risk. The demonstration of an association of vitamin D with both ovarian reserve and depression could suggest that vitamin D may be another important key in explaining female reproductive depression. Larger-scale studies in standardized settings will be needed in order to gain further insight into the role of vitamin D in female reproduction and depression.