COVID-19 is a recent pandemic that mandated the scientific society to provide effective evidence-based therapeutic approaches for the prevention and treatment for such a global threat, especially to those patients who hold a higher risk of infection and complications, such as patients with autoimmune diseases and cancer. Recent research has examined the role of various fat-soluble vitamins (vitamins A, D, E, and K) in reducing the severity of COVID-19 infection. Studies showed that deficiency in fat-soluble vitamins abrogates the immune system, thus rendering individuals more susceptible to COVID-19 infection. Moreover, another line of evidence showed that supplementation of fat-soluble vitamins during the course of infection enhances the viral clearance episode by promoting an adequate immune response. However, more thorough research is needed to define the adequate use of vitamin supplements in cancer and autoimmune patients infected with COVID-19. Moreover, it is crucial to highlight the vitamin-drug interactions of the COVID-19 therapeutic modalities and fat-soluble vitamins. With an emphasis on cancer and autoimmune patients, the current review aims to clarify the role of fat-soluble vitamins in SARS-CoV-2 infection and to estimate the risk-to-benefit ratio of a fat-soluble supplement administered to patients taking FDA-approved COVID-19 medications such as antivirals, anti-inflammatory, receptor blockers, and monoclonal antibodies.