The quote titling this brief post - "increasing evidence for an association between vitamin D insufficiency and depression" - comes from the review by Parker and colleagues  who seem to be no strangers to reviewing evidence on a possible link between the sunshine vitamin/hormone and depression .
Affiliated to the Black Dog Institute in Oz ('black dog' being used as a metaphor for depression for quite a few years), the authors surveyed the quite voluminous peer-reviewed research literature on the topic of vitamin D and depression and concluded that there is 'adequate' evidence linking vitamin D levels and depression and also that: "Vitamin D supplementation/augmentation can be an effective treatment."
With no medical or clinical advice given or intended, regular readers of this blog won't perhaps be too surprised by this latest review offering. I've covered the topic again and again and again on this blog and quite frankly it's getting to the point where I'm getting sick of hearing myself talk/type about it. That being said, there are still questions that need answering on this issue: (1) given that 'depression' is quite a nebulous term, are there specific 'types' of depression that vitamin D levels/supplementation seem to be more associated with? (2) what is/are the mode(s) of action? bearing in mind there may be some clues in other literature linked to the possible extra-skeletal actions of vitamin D and (3) how and where do the genetics of vitamin D metabolism fit into all this?
I think it's also important to point out that depression is generally not something that just 'evaporates' when a vitamin D pill or any other pill is taken; more research needs to be done on the timing of supplementation and optimal dosage too as well as the potential use of vitamin D as an adjuvant to more traditional pharmacotherapy. There is a scheme of work to be followed but yet again, research on the possible link between vitamin D and depression continues at a pace.
And as if to further prove the point ...
 Parker GB. et al. Vitamin D and depression. J Affect Disord. 2016 Oct 11;208:56-61.
 Parker G. & Brotchie H. 'D' for depression: any role for vitamin D? 'Food for Thought' II. Acta Psychiatr Scand. 2011 Oct;124(4):243-9
 Shin YC. et al. The associations among vitamin D deficiency, C-reactive protein, and depressive symptoms. J Psychosom Res. 2016 Nov;90:98-104.
Parker GB, Brotchie H, & Graham RK (2016). Vitamin D and depression. Journal of affective disorders, 208, 56-61 PMID: 27750060