Despite their proven efficacy and huge contribution to the health of humankind, vaccines continue to be a source of concern for some individuals around the world. Vaccinations against COVID-19 increased the number of distressed people and intensified their distrust, particularly as the pandemic was still emerging and the populations were encouraged to be vaccinated under various slogans like “back to normal life” and “stop coronavirus”, goals which are still to be achieved. As fear of vaccination-related adverse events following immunization (AEFIs) is the main reason for vaccine hesitancy, we reviewed immune and autoimmune AEFIs in particular, though very rare, as the most worrisome aspect of the vaccines. Among others, autoimmune AEFIs of the most commonly administered COVID-19 vaccines include neurological ones such as Guillain-Barre syndrome, transverse myelitis, and Bell’s palsy, as well as myocarditis. In addition, the newly introduced notion related to COVID-19 vaccines, “vaccine-induced immune thrombotic thrombocytopenia/vaccine-induced prothrombotic immune thrombotic thrombocytopenia” (VITT/VIPITT)”, is of importance as well. Overviewing recent medical literature while focusing on the major immune and autoimmune AEFIs, demonstrating their rate of occurrence, presenting the cases reported, and their link to the specific type of COVID-19 vaccines represented the main aim of our work. In this narrative review, we illustrate the different vaccine types in current use, their associated immune and autoimmune AEFIs, with a focus on the 3 main COVID-19 vaccines (BNT162b2, mRNA-1273, and ChAdOx1). While the rate of AEFIs is extremely low, addressing the issue in this manner, in our opinion, is the best strategy for coping with vaccine hesitancy.