(1) Background: Evidence has accumulated that patients with anorexia nervosa (AN) are at higher risk for vitamin D deficiency than healthy controls. In epidemiologic studies, low 25(OH) vitamin D (25(OH)D) levels were associated with depression. This study analyzed the relationship between 25(OH)D serum levels in adolescent patients and AN and depressive symptoms over the course of treatment. (2) Methods: 25(OH)D levels and depressive symptoms were analyzed in 93 adolescent (in-)patients with AN from the Anorexia Nervosa Day patient versus Inpatient (ANDI) multicenter trial at clinic admission, discharge, and 1 year follow up. Mixed regression models were used to analyze the relationship between 25(OH)D levels and depressive symptoms assessed by the Beck Depression Inventory (BDI-II). (3) Results: Although mean 25(OH)D levels constantly remained in recommended ranges (≥50 nmol/L) during AN treatment, levels decreased from (in)patient admission to 1 year follow up. Levels of 25(OH)D were neither cross-sectionally, prospectively, nor longitudinally associated with the BDI-II score. (4) Conclusions: This study did not confirm that 25(OH)D levels are associated with depressive symptoms in patients with AN. However, increasing risks of vitamin D deficiency over the course of AN treatment indicate that clinicians should monitor 25(OH)D levels.