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Evidence suggests the pivotal role of vitamin D in the pathophysiology of major depressive disorder (MDD) via its effects on the brain. Gender differences exist in both depression and vitamin D level. Our objective was to investigate the association between gender, vitamin D, clinical manifestations, and functional network connectivity in a large sample of MDD patients and healthy controls. Resting-state functional MRI data were collected from 122 patients and 119 controls, with independent component analysis adopted to examine large-scale inter- and intranetwork functional connectivity. Serum concentration of vitamin D (SCVD) and clinical manifestations were also assessed. MDD patients exhibited lower SCVD than controls in females but not males. Moreover, we identified a female-specific association between lower SCVD and poorer cognitive performance. Concurrently, MDD-related functional network connectivity changes were correlated with SCVD in females as well as depression and anxiety symptoms in female patients. Remarkably, MDD- and SCVD-related functional network connectivity alterations mediated the associations between SCVD and cognition in females. Aside from providing evidence for a female-specific neurobiological mechanism whereby low vitamin D might contribute to MDD and its associated clinical characteristics, our findings inform a novel conceptualization that adjuvant vitamin D supplementation therapy may yield clinical benefits in improving treatment outcomes in female patients with MDD.