Vitamin D may have multiple effects on the nervous system and its deficiency can represent a possible risk factor for the development of many neurological diseases. Recent studies are also trying to clarify the different effects of vitamin D supplementation over the course of progressive neurological diseases. In this narrative review, we summarise vitamin D chemistry, metabolism, mechanisms of action, and the recommended daily intake. The role of vitamin D on gene transcription and the immune response is also reviewed. Finally, we discuss the scientific evidence that links low 25-hydroxyvitamin D concentrations to the onset and progression of severe neurological diseases, such as multiple sclerosis, Parkinson’s disease, Alzheimer’s disease, migraine, diabetic neuropathy and amyotrophic lateral sclerosis. Completed and ongoing clinical trials on vitamin D supplementation in neurological diseases are listed.