We aimed to examine whether low intensive care unit (ICU) admission 25-hydroxyvitamin D (25(OH)D) levels are associated with worse outcomes of COVID-19 pneumonia. This was a prospective observational study of SARS-CoV2 positive critically ill patients treated in a multidisciplinary ICU. Thirty (30) Greek patients were included, in whom 25(OH)D was measured on ICU admission. Eighty (80%) percent of patients had vitamin D deficiency, and the remaining insufficiency. Based on 25(OH)D levels, patients were stratified in two groups: higher and lower than the median value of the cohort (15.2 ng/mL). The two groups did not differ in their demographic or clinical characteristics. All patients who died within 28 days belonged to the low vitamin D group. Survival analysis showed that the low vitamin D group had a higher 28-day survival absence probability (log-rank test, p = 0.01). Critically ill COVID-19 patients who died in the ICU within 28 days appeared to have lower ICU admission 25(OH)D levels compared to survivors. When the cohort was divided at the median 25(OH)D value, the low vitamin D group had an increased risk of 28-day mortality. It seems plausible, therefore, that low 25(OH)D levels may predispose COVID-19 patients to an increased 28-day mortality risk.