Vitamin D (Vit D) is well known for its traditional role in calcium and bone homeostasis. Sun exposure and diet are essential for Vit D synthesis and intake. However, the association of Vit D deficiency with various diseases has held the attention of clinicians. Of note, Vit D has pleiotropic effects that could be involved in the optimal functioning of many organ systems. Several epidemiologic studies have documented widespread Vit D deficiency worldwide. Vit D deficiency is also frequent in hospitalized patients. Recently, publications have suggested a high prevalence of Vit D deficiency in critically ill patients, which might have a clinical impact in this specific population. However, few studies have specifically investigated the prevalence and risk factors of Vit D deficiency in intensive care units. The available data indicate a Vit D deficiency prevalence of 80% to 100% in critically ill patients. The risk factors associated with Vit D deficiency include variables dependent on demographic characteristics, such as ethnicity, age and sex, lifestyle and diet, medical history and medications, and acute critical illness. Of note, the presence of a systemic inflammatory response and the severity of acute illness may affect the Vit D status. This review presents the current knowledge on the prevalence of Vit D deficiency in the critically ill and the associated risk factors.