Due to its essential role in calcium and phosphate homeostasis, the secosteroid hormone calcitriol has received growing attention over the last few years. Calcitriol, like other steroid hormones, may function through both genomic and non-genomic mechanisms. In the traditional function, the interaction between the biologically active form of vitamin D and the vitamin D receptor (VDR) affects the transcription of thousands of genes by binding to repeated sequences present in their promoter region, named vitamin D-responsive elements (VDREs). Non-transcriptional effects, on the other hand, occur quickly and are unaffected by inhibitors of transcription and protein synthesis. Recently, calcifediol, the immediate precursor metabolite of calcitriol, has also been shown to bind to the VDR with weaker affinity than calcitriol, thus exerting gene-regulatory properties. Moreover, calcifediol may also trigger rapid non-genomic responses through its interaction with specific membrane vitamin D receptors. Membrane-associated VDR (mVDR) and protein disulfide isomerase family A member 3 (Pdia3) are the best-studied candidates for mediating these rapid responses to vitamin D metabolites. This paper provides an overview of the calcifediol-related mechanisms of action, which may help to better understand the vitamin D endocrine system and to identify new therapeutic targets that could be important for treating diseases closely associated with vitamin D deficiency.