Multiple sclerosis is a common immune-mediated inflammatory and demyelinating disease. Lower cholecalciferol levels are an established environmental risk factor in multiple sclerosis. Although cholecalciferol supplementation in multiple sclerosis is widely accepted, optimal serum levels are still debated. Moreover, how cholecalciferol affects pathogenic disease mechanisms is still unclear. In the present study, we enrolled 65 relapsing–remitting multiple sclerosis patients who were double-blindly divided into two groups with low and high cholecalciferol supplementation, respectively. In addition to clinical and environmental parameters, we obtained peripheral blood mononuclear cells to analyze DNA, RNA, and miRNA molecules. Importantly, we investigated miRNA-155-5p, a previously published pro-inflammatory miRNA in multiple sclerosis known to be correlated to cholecalciferol levels. Our results show a decrease in miR-155-5p expression after cholecalciferol supplementation in both dosage groups, consistent with previous observations. Subsequent genotyping, gene expression, and eQTL analyses reveal correlations between miR-155-5p and the SARAF gene, which plays a role in the regulation of calcium release-activated channels. As such, the present study is the first to explore and suggest that the SARAF miR-155-5p axis hypothesis might be another mechanism by which cholecalciferol supplementation might decrease miR-155 expression. This association highlights the importance of cholecalciferol supplementation in multiple sclerosis and encourages further investigation and functional cell studies.