(1) Background: Tuberculosis (TB) is one of the world’s top infectious killers, in fact every year 10 million people fall ill with TB and 1.5 million people die from TB. Vitamins have an important role in vital functions, due to their anti-oxidant, pro-oxidant, anti-inflammatory effects and to metabolic functions. The aim of this review is to discuss and summarize the evidence and still open questions regarding vitamin supplementation as a prophylactic measure in those who are at high risk of Mycobacterium tuberculosis (MTB) infection and active TB; (2) Methods: We conducted a search on PubMed, Scopus, Google Scholar, EMBASE, Cochrane Library and WHO websites starting from March 1950 to September 2021, in order to identify articles discussing the role of Vitamins A, B, C, D and E and Tuberculosis; (3) Results: Supplementation with multiple micronutrients (including zinc) rather than vitamin A alone may be more beneficial in TB. The WHO recommend Pyridoxine (vitamin B6) when high-dose isoniazid is administered. High concentrations of vitamin C sterilize drug-susceptible, MDR and extensively drug-resistant MTB cultures and prevent the emergence of drug persisters; Vitamin D suppresses the replication of mycobacterium in vitro while VE showed a promising role in TB management as a result of its connection with oxidative balance; (4) Conclusions: Our review suggests and encourages the use of vitamins in TB patients. In fact, their use may improve outcomes by helping both nutritionally and by interacting directly and/or indirectly with MTB. Several and more comprehensive trials are needed to reinforce these suggestions.