Vitamin D deficiency is a constantly growing health problem worldwide. Adults affected with hypovitaminosis D could experience negative consequences on their musculoskeletal system and extra-skeletal health. In fact, an optimal vitamin D status is essential to ensure the correct bone, calcium, and phosphate homeostasis. To improve vitamin D status, it is important to not only increase the intake of food fortified with vitamin D, but also to administer vitamin D supplementation when required. Vitamin D3 (cholecalciferol) is the most widely used supplement. In recent years, the administration of calcifediol (25(OH)D3), the direct precursor of the biologically active form of vitamin D3, as oral vitamin D supplementation has progressively grown. Here, we report the potential medical benefits of some peculiar biological actions of calcifediol, discussing the possible specific clinical scenarios in which the oral intake of calcifediol could be most effective to restore the correct serum levels of 25(OH)D3. In summary, the aim of this review is to provide insights into calcifediol-related rapid non-genomic responses and the possible use of this vitamin D metabolite as a supplement for the treatment of people with a higher risk of hypovitaminosis D.