The vaccination campaigns brought hope to minimizing the coronavirus disease 2019 (COVID‐19) burden. However, the emergence of novel, highly transmissible Omicron lineage of severe acute respiratory syndrome coronavirus 2 (SARS‐CoV‐2) and the waning of neutralizing antibodies a few months after vaccination has brought concerns over the vaccine efficacy. The present work analyzed the relationships between COVID‐19 vaccine coverage (completion of primary course and booster dose intake) in the European Economic Area and rates of infection, hospitalizations, admissions to intensive care units (ICU), and deaths during the Omicron wave in the first quarter of 2022 (January–April). As demonstrated, infection rates were not correlated to vaccine coverage in any considered month. For January and February, the rates of hospitalizations, intensive care unit (ICU) admissions, and death due to COVID‐19 were strongly negatively correlated (
r
=− 0.54 to −0.82) with the percentage of individuals who completed initial vaccination protocol and the percentage of those who received a booster dose. However, in March and April, the percentage of the population with primary vaccination course correlated negatively only with ICU admissions (
r
= −0.77 and −0.46, respectively). The uptake of boosters in March still remained in significant negative correlation with hospitalizations (
r
= −0.45), ICU admissions (
r
= −0.70) and deaths due to COVID‐19 (
r
= −0.37), although in April these relationships were no longer observed. The percentage of individuals with confirmed SARS‐CoV‐2 infection did not correlate with the pandemic indices for any considered month. The study indicates that COVID‐19 vaccination, including booster administration, was beneficial in decreasing the overwhelming of healthcare systems during the Omicron wave, but novel vaccine strategies may be required in the long term to enhance the effectiveness and durability of vaccine‐induced protection during future waves of SARS‐CoV‐2 infections.