We aimed to investigate vaccine effectiveness against progression to severe COVID-19 (acute respiratory distress syndrome (ARDS), intensive care unit (ICU) admission and/or death) and in-hospital death in a cohort of hospitalized COVID-19 patients. Mixed effects logistic regression analyses were performed to estimate the association between receiving a primary COVID-19 vaccination schedule and severe outcomes after adjusting for patient, hospital, and vaccination characteristics. Additionally, the effects of the vaccine brands including mRNA vaccines mRNA-1273 and BNT162b2, and adenovirus-vector vaccines ChAdOx1 (AZ) and Ad26.COV2.S (J&J) were compared to each other. This retrospective, multicenter cohort study included 2493 COVID-19 patients hospitalized across 73 acute care hospitals in Belgium during the time period 15 August 2021–14 November 2021 when the Delta variant (B1.617.2) was predominant. Hospitalized COVID-19 patients that received a primary vaccination schedule had lower odds of progressing to severe disease (OR (95% CI); 0.48 (0.38; 0.60)) and in-hospital death (OR (95% CI); 0.49 (0.36; 0.65)) than unvaccinated patients. Among the vaccinated patients older than 75 years, mRNA vaccines and AZ seemed to confer similar protection, while one dose of J&J showed lower protection in this age category. In conclusion, a primary vaccination schedule protects against worsening of COVID-19 to severe outcomes among hospitalized patients.