Poor vitamin D status is common in patients with impaired renal function and represents one main component of the complex scenario of chronic kidney disease–mineral and bone disorder (CKD–MBD). Therapeutic and dietary efforts to limit the consequences of uremia-associated vitamin D deficiency are a current hot topic for researchers and clinicians in the nephrology area. Evidence indicates that the low levels of vitamin D in patients with CKD stage above 4 (GFR < 15 mL/min) have a multifactorial origin, mainly related to uremic malnutrition, namely impaired gastrointestinal absorption, dietary restrictions (low-protein and low-phosphate diets), and proteinuria. This condition is further worsened by the compromised response of CKD patients to high-dose cholecalciferol supplementation due to the defective activation of renal hydroxylation of vitamin D. Currently, the literature lacks large and interventional studies on the so-called non-calcemic activities of vitamin D and, above all, the modulation of renal and cardiovascular functions and immune response. Here, we review the current state of the art of the benefits of supplementation with native vitamin D in various clinical settings of nephrological interest: CKD, dialysis, and renal transplant, with a special focus on the effects on bone homeostasis and cardiovascular outcomes.