Vitamin D is known for its role in modulating calcium and phosphate homeostasis and is implicated both in bone mineralization and immune system regulation. The immune-modulatory role of vitamin D and its impact on multiple sclerosis (MS) courses are still debated. The aim of this review was to check the effect of vitamin D supplementation on cytokine profile regulation in people with MS. A significant increase in serum concentrations of interleukin (IL)-10 and Transforming growth factor (TGF)-β1 after vitamin D supplementation was demonstrated in most studies, with some of them reporting a reduction in disability scores after vitamin D supplementation and an inverse correlation between IL-10 levels and disability. The effect of vitamin D on the serum levels of IL-17 and IL-6 was controversial; different results across studies could be explained by a variability in the treatment duration, route, and frequency of administration, as well as the dosage of vitamin D supplementation, responses to vitamin D treatment and the serum levels reached with supplementation, including the methods used for cytokine analysis and the different cell types investigated, the MS phenotype, the disease phase (active vs. non-active) and duration, and concomitant treatment with disease-modifying therapies. Nevertheless, the significant increase in the serum concentrations of IL-10 and TGF-β1, demonstrated in most studies, suggests an anti-inflammatory effect of vitamin D supplementation.