Vitamin D insufficiency or deficiency (VDD) is a very prevalent condition in the general population. Vitamin D is necessary for optimal bone mineralization, but apart from the bone effects, preclinical and observational studies have suggested that vitamin D may have pleiotropic actions, whereas VDD has been linked to several diseases and higher all-cause mortality. Thus, supplementing vitamin D has been considered a safe and inexpensive approach to generate better health outcomes—and especially so in frail populations. Whereas it is generally accepted that prescribing of vitamin D in VDD subjects has demonstrable health benefits, most randomized clinical trials, although with design constraints, assessing the effects of vitamin D supplementation on a variety of diseases have failed to demonstrate any positive effects of vitamin D supplementation. In this narrative review, we first describe mechanisms through which vitamin D may exert an important role in the pathophysiology of the discussed disorder, and then provide studies that have addressed the impact of VDD and of vitamin D supplementation on each disorder, focusing especially on randomized clinical trials and meta-analyses. Despite there already being vast literature on the pleiotropic actions of vitamin D, future research approaches that consider and circumvent the inherent difficulties in studying the effects of vitamin D supplementation on health outcomes are needed to assess the potential beneficial effects of vitamin D. The evaluation of the whole vitamin D endocrine system, rather than only of 25-hydroxyvitamin D levels before and after treatment, use of adequate and physiologic vitamin D dosing, grouping based on the achieved vitamin D levels rather than the amount of vitamin D supplementation subjects may receive, and sufficiently long follow-up are some of the aspects that need to be carefully considered in future studies.