Physical activity, combined with adequate nutrition, is considered a protective factor against cardiovascular disease, musculoskeletal disorders, and intestinal dysbiosis. Achieving optimal performance requires a significantly high energy expenditure, which must be correctly supplied to avoid the occurrence of diseases such as muscle injuries, oxidative stress, and heart pathologies, and a decrease in physical performance during competition. Moreover, in sports activities, the replenishment of water, vitamins, and minerals consumed during training is essential for safeguarding athletes’ health. In this scenario, vitamins play a pivotal role in numerous metabolic reactions and some muscle biochemical adaptation processes induced by sports activity. Vitamins are introduced to the diet because the human body is unable to produce these micronutrients. The aim of this review is to highlight the fundamental role of vitamin supplementation in physical activity. Above all, we focus on the roles of vitamins A, B6, D, E, and K in the prevention and treatment of cardiovascular disorders, muscle injuries, and regulation of the microbiome.