The impact of vitamin D supplementation on depressive symptoms remains uncertain. This study aimed to investigate the dose-dependent effects of vitamin D supplementation on depressive and anxiety symptoms in adults. We systematically searched PubMed, Scopus, and Web of Science up to December 2022 to identify randomized controlled trials evaluating the effects of vitamin D3 supplementation on depression and anxiety symptoms in adults. Using a random-effects model, we calculated the standardized mean difference (SMD) for each 1000 IU/day vitamin D3 supplementation. The GRADE tool assessed the certainty of evidence. Our analysis included 31 trials with 24189 participants. Each 1000 IU/day vitamin D3 supplementation slightly reduced depressive symptoms in individuals with and without depression (SMD: −0.32, 95% CI −0.43 to −0.22; GEADE = moderate). The effect was more pronounced in those with depressive symptoms (SMD: −0.57, 95% CI −0.69 to −0.44; n = 15). The greatest reduction occurred at 8000 IU/day (SMD: −2.04, 95% CI −3.77 to −0.31). Trials with follow-up ⩽8 weeks (SMD: −0.45, 95% CI −0.70 to −0.20; n = 8) and 8 to ⩽24 weeks (SMD: −0.47, 95% CI −0.70 to −0.24; n = 15) showed stronger effects compared to those lasting 24 to ⩽52 weeks (SMD: −0.13, 95% CI −0.28 to 0.02; n = 5) or longer than 52 weeks (SMD: 0.14, 95% CI −0.16 to 0.44; n = 3) (p group difference <0.001). Vitamin D3 supplementation had no significant effects on anxiety symptoms. In summary, this study suggests that vitamin D3 supplementation may effectively reduce depressive symptoms in short term. Further high-quality trials are warranted for a conclusive assessment of its impact on anxiety.