During the last decade, a cascade of evidence has questioned the anti-fracture efficacy of vitamin D supplementation. In general, vitamin D status, reflected by serum 25-hydroxy-vitamin D [25(OH)D] concentrations, seems to predict fracture risk and bone mineral density (BMD). Despite the well-documented detrimental effect of vitamin D deficiency on bones, vitamin D monotherapy does not seem to reduce the risk of fractures. On the other hand, high vitamin D doses, either at monthly (60,000–100,000 IU) or daily intervals (>4000 IU), appear to be harmful with regard to falls, fracture risk and BMD, especially for people without vitamin D deficiency and at low fracture risk. Therefore, a U-shaped effect of vitamin D on the musculoskeletal system may be supported by the current evidence. Vitamin D supplementation could be of value, at daily doses of at least 800 IU, co-supplemented with calcium (1000–1200  mg/day), in elderly populations, especially those with severe vitamin D deficiency [25(OH)D <25–30  nmol/L (<10–12  ng/mL)], although its anti-fracture and anti-fall efficacy is modest. Good compliance and at least 3–5 years of therapy are required.