A recent global study revealed that approximately 80–90% of the population are deficient in vitamin D, a crucial nutrient for maintaining normal physiological functions. This widespread deficiency is quite alarming, as it can lead to significant health risks and increase susceptibility to various diseases, thereby compromising overall well-being. Vitamin D in its native form has a limited shelf life (approximately a year at ambient temperature), low stability, and poor bioavailability; however, encapsulation can improve these characteristics without compromising its biological effectiveness and controlled release. The encapsulation technique and wall material type used have a significant role in the process. The present article provides a comprehensive overview of the prevailing advanced encapsulation techniques, such as emulsification, coacervation, nanoliposomes, solid lipid particles, solvent evaporation, electrospinning, spray drying and lyophilization, along with various wall materials used, to improve the shelf life, stability, and bioavailability of vitamin D. These techniques represent promising strategies for enhancing vitamin D delivery and efficacy in different applications.