Vaccination with Bacillus Calmette–Guérin (BCG) constituted a major advance in the prevention of human tuberculosis (TB) in the beginning of the past century. BCG has also a clear potential for use in animals and, in particular, in the main domestic species subjected to TB control programs, cattle. Nowadays, the use of BCG vaccination against TB in cattle is not permitted by European Union legislation because BCG can induce a cellular immune response producing diagnostic interference in the eradication programs based on tuberculin single and comparative intradermal tests imposed worldwide. In this review, we recall the history of TB vaccination as well as different vaccine trials and the response to vaccination in both domestic and wild animals. Promising potential inactivated vaccines are also reviewed. Research studies are mainly focused to improve vaccine efficacy, and at the same time to ensure its easy administration, safety and stability in the environment. Great challenges remain, particularly in terms of vaccine candidates and also in the acceptance of vaccination. Vaccination should be included in a strategic plan for integrated control of TB under a “one health” perspective, which also includes other measures such as improved biosafety on farms to avoid or decrease contact between domestic and wild animals or control of wildlife reservoirs to avoid overabundance that may favor infection maintenance.