Aims: To investigate vitamin D deficiency as a risk marker for complications in individuals with type 1 and type 2 diabetes. Methods: A cohort study including 1448 adults with type 1 and 770 with type 2 diabetes. Individuals in the decile with lowest vitamin D level were classified as vitamin D deficient. Outcomes based on medical records and registers included mortality, major adverse cardiovascular event (MACE), heart failure, a composite kidney endpoint, albuminuria progression and sight-threatening eye disease. Risk in individuals with vitamin D deficiency was compared to the remaining using adjusted Cox proportional hazards models. Results: Vitamin D deficiency was associated with higher risk of MACE (adjusted hazard ratio (HR): 2.6; 95 % confidence interval (CI): 1.3–5.2) in type 1, but not in type 2 diabetes. Risk of heart failure was higher in individuals with vitamin D deficiency in both cohorts (HR (95%CI): 16 (4.8–50) in type 1 and 2.4 (1.1–5.5) in type 2 diabetes). Vitamin D deficiency was not associated with development of microvascular complications or mortality. Conclusions: Vitamin D deficiency was a risk marker for MACE and heart failure in type 1 and for heart failure in type 2 diabetes, but not for microvascular complications or all-cause mortality.