Background: Vitamin D deficiency is a growing public health concern that may affect not only skeletal health but also mental well-being. Emerging evidence suggests a possible association between Vitamin D deficiency and depression. This study aimed to assess awareness and beliefs regarding Vitamin D among adults and to examine its association with depressive symptoms in the adult population. Methodology: A cross-sectional survey was conducted among 346 adults using a structured online questionnaire. Information on demographic characteristics, sun exposure habits, Vitamin D awareness, supplementation practices, and depression severity using the Patient Health Questionnaire-9 (PHQ-9) was collected. Data were analyzed using descriptive statistics and Chi-square tests of independence to determine associations between Vitamin D-related variables and depression outcomes. Results: Among the 346 respondents, 194 (56.1%) were female and 280 (80.9%) were graduates. Overall, 292 participants (84.4%) were aware of Vitamin D, while 158 (45.7%) believed that Vitamin D deficiency contributes to depression. Only 70 participants (20.2%) reported taking Vitamin D supplements. Significant associations were observed between belief in the Vitamin D–depression relationship and knowledge of Vitamin D’s effect on mental health (χ² = 14.492, p = 0.006), as well as prior clinical diagnosis of depression (χ² = 6.744, p = 0.034). PHQ-9 depression severity was significantly associated with sun exposure timing (χ² = 21.944, p = 0.038). Approximately 41.6% of respondents were categorized within moderate-to-severe depression levels. No significant associations were found between Vitamin D belief and outdoor exposure duration, sunscreen use, gender, educational status, or residential area (p > 0.05). Conclusion: The study demonstrates a significant association between Vitamin D-related awareness and depression among adults. Mental health knowledge, previous depression diagnosis, and sun exposure timing were the strongest factors associated with Vitamin D beliefs and depressive symptom severity. Despite high awareness of Vitamin D, supplementation practices remained low, highlighting an awareness–action gap. These findings emphasize the need for targeted educational programs, routine Vitamin D screening, and appropriate supplementation strategies to support mental health outcomes.