Vitamin D is a secosteroid hormone that is highly involved in bone health. Mounting evidence revealed that, in addition to the regulation of mineral metabolism, vitamin D is implicated in cell proliferation and differentiation, vascular and muscular functions, and metabolic health. Since the discovery of vitamin D receptors in T cells, local production of active vitamin D was demonstrated in most immune cells, addressing the interest in the clinical implications of vitamin D status in immune surveillance against infections and autoimmune/inflammatory diseases. T cells, together with B cells, are seen as the main immune cells involved in autoimmune diseases; however, growing interest is currently focused on immune cells of the innate compartment, such as monocytes, macrophages, dendritic cells, and natural killer cells in the initiation phases of autoimmunity. Here we reviewed recent advances in the onset and regulation of Graves’ and Hashimoto’s thyroiditis, vitiligo, and multiple sclerosis in relation to the role of innate immune cells and their crosstalk with vitamin D and acquired immune cells.