Vitamin D research has gained increased attention in recent times due to its roles beyond bone health and calcium homeostasis, such as immunomodulation. In some parts of the brain and on immune cells, vitamin D hydroxylating enzymes and its receptors are located. Epidemiological evidence demonstrates that deficiency of Vitamin D is relevant for disease risk and course in multiple sclerosis (MS) and presumably also in neuromyelitis optica spectrum disorders (NMOSD), Parkinson’s disease (PD), and Alzheimer’s disease (AD). Although the exact mechanism underlying vitamin D effects in these diseases remains widely unexplored, human and animal studies continue to provide some hints. While the majority of vitamin D researchers so far speculate that vitamin D may be involved in disease pathogenesis, others could not show any association although none have reported that sufficient vitamin D worsens disease progression. The studies presented in this review suggest that whether vitamin D may have beneficial effects in disease course or not, may be dependent on factors such as ethnicity, gender, diet, vitamin D receptor (VDR) polymorphisms and sunlight exposure. We here review the possible role of vitamin D in the pathogenesis and disease course of MS, NMOSD, PD, and AD and potential therapeutic effects of vitamin D supplementation which may be relevant for predictive, preventive, and personalized medicine. We suggest areas to consider in vitamin D research for future studies and recommend the need to supplement patients with low vitamin D levels below 30 ng/ml to at least reach sufficient levels.