Abstract Background Depression is a major cause of chronic disability throughout the world and an important cardiovascular risk factor, increasing the relative risk of coronary artery disease as well as rates of cardiovascular morbidity and mortality. Concomitant to the high prevalence of depression, there has been a reduction in exposure to sunlight with the increase in urbanization and the use of sun protectors, which has led to a reduction in serum levels of 25-hydroxyvitamin D. Therefore, this paper describes a protocol for a clinical trial with the aim of evaluating the effects of vitamin D supplementation on depression and cardiovascular risk factors to contribute evidence regarding the potential influence of supplementation on mood regulation. Methods This protocol study was guided by the Standard Protocol Items: Recommendations for Interventional Trials. A randomized, placebo-controlled, double-blind clinical trial will be conducted involving 224 adults (age range 18–60 years) with depression who are taking antidepressants and have no history of vitamin D supplementation, psychiatric comorbidities, chronic kidney disease, hypercalcemia, or neoplasm. The participants will be recruited from the psychiatric outpatient clinics of two universities in northeast Brazil. Eligible participants who provide written consent will be randomly designated to either the intervention group (n = 112; vitamin D supplementation 50,000 IU per week for 6 months) or the control group (n = 112; placebo taken weekly for 6 months). Measures for monitoring depressive symptoms, clinical examinations, and laboratory tests for evaluating cardiovascular risk factors and serum vitamin D levels will be performed before and after the intervention period. Discussion To the best of our knowledge, this will be the first clinical trial with the aim of testing the effectiveness of vitamin D supplementation on the reduction of cardiovascular risk and as an adjuvant to depression therapy for a prolonged period (6 months). The findings will contribute to the understanding of the therapeutic effects of vitamin D supplementation in the management of depression and can help guide public policies directed toward vitamin supplementation for the reduction of cardiovascular risk. Trial registration Brazilian Clinical Trials Registry, RBR-6yj8sj/Universal Trial Number (UTN) U1111-1217-9237. Registered on 23 July 2018.