Respiratory infections are a leading cause of child morbidity worldwide, and asthma is the most common chronic disorder in childhood. Both conditions associate with high socioeconomic costs and are major reasons for medication prescriptions and hospitalizations in children. Vitamin D deficiency has concomitantly increased with asthma prevalence and is hypothesized to play a key role in the development. Current evidence suggests that high prenatal and early childhood vitamin D could be protective against respiratory infections and asthma in some studies where several mechanisms are proposed. However, other studies have reported no effects on these outcomes. Therefore, future large intervention studies on this topic are warranted. Mechanistic studies have shown that vitamin D holds antimicrobial properties by inducing production of several peptides through altered gene expression. Others have shown a complex interplay between asthma risk genotypes, the sphingolipid pathway, and prenatal vitamin D in early childhood asthma. Vitamin D has also been suggested to change both airway immune and microbiota profiles, which are directly related to asthma risk. Finally, systemic low-grade inflammation seems to be regulated by vitamin D exposure. This review presents the current literature of the primary preventive effect of vitamin D on early childhood asthma and respiratory infections. Mechanisms of actions are discussed, and gaps in knowledge are highlighted to facilitate planning of future intervention trials.