The current challenge worldwide is the administration of the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) vaccine. Considering that the COVID-19 vaccination represents the best possibility to resolve this pandemic, this systematic review aims to clarify the major aspects of fatal adverse effects related to COVID-19 vaccines, with the goal of advancing our knowledge, supporting decisions, or suggesting changes in policies at local, regional, and global levels. Moreover, this review aims to provide key recommendations to improve awareness of vaccine safety. All studies published up to 2 December 2021 were searched using the following keywords: “COVID-19 Vaccine”, “SARS-CoV-2 Vaccine”, “COVID-19 Vaccination”, “SARS-CoV-2 Vaccination”, and “Autopsy” or “Post-mortem”. We included 17 papers published with fatal cases with post-mortem investigations. A total of 38 cases were analyzed: 22 cases were related to ChAdOx1 nCoV-19 administration, 10 cases to BNT162b2, 4 cases to mRNA-1273, and 2 cases to Ad26.COV2.S. Based on these data, autopsy is very useful to define the main characteristics of the so-called vaccine-induced immune thrombotic thrombocytopenia (VITT) after ChAdOx1 nCoV-19 vaccination: recurrent findings were intracranial hemorrhage and diffused microthrombi located in multiple areas. Moreover, it is fundamental to provide evidence about myocarditis related to the BNT162B2 vaccine. Finally, based on the discussed data, we suggest several key recommendations to improve awareness of vaccine safety.