Ultraviolet rays are one of the leading factors in the development of melanoma (MM); however, ultraviolet rays seem not to play a role in non-sun-exposed MM, where systemic immunosuppression, anatomical, and physiological features may contribute toward the development of the malignancy. Our aim was to evaluate vitamin D receptor (VDR) expression in shield-site melanoma (ST-MM) and non-shield-site melanoma (NST-MM) to find features that could explain the different biological behavior of MM according to the area of onset. We reviewed 118 specimens of MM. VDR expression was assayed using immunohistochemistry by dividing the specimens according to the anatomical area. We included MM of the soles, feet, hands, gluteus, scrotum, skin of the penile shaft, and large vaginal labia in the ST-MM group. The NST-MM group was divided into two main categories: NST-MM of chronic sun-exposed areas, including MM of the face, scalp, neck, back of the hands, and NST-MM of intermittent sun-exposed areas, including MM of the trunk, lower, and upper limbs. In shield sites, 66.67% of MMs showed VDR expression; in intermittent sun-exposed areas, 33.3% showed VDR expression; and in chronic sun-exposed areas, only 4.66% showed VDR expression. A similar behavior was observed for Breslow’s thickness, where VDR staining intensity was higher in thicker lesions, ranging between 60 and 100%. We found that VDR expression decreased from ST-MM to NST-MM. These findings confirm the hypothesis that different pathways are involved in ST-MM and NST-MM.