Vitamin D (VD) exerts a wide variety of actions via gene regulation mediated by the nuclear vitamin D receptor (VDR) under physiological and pathological settings. However, the known target genes of VDR appear unlikely to account for all VD actions. We used in silico and transcriptomic approaches in human cell lines to search for non-coding RNAs transcriptionally regulated by VD directly. Four long non-coding RNAs (lncRNAs), but no microRNAs, were found, supported by the presence of consensus VDR-binding motifs in the coding regions. One of these lncRNAs (AS-HSD17b2) is transcribed from the anti-sense strand of the HSD17b2 locus, which is also a direct VD target. AS-HSD17b2 attenuated HSD17b2 expression. Thus, AS-HSD17b2 represents a direct lncRNA target of VD.