Vaccination is reported as a stressful and painful event for animals. This study investigated whether needle-free intradermal vaccination improves the welfare of weaned pigs through the reduction of stress and pain biomarkers and improvement of behavioural parameters compared to traditional intramuscular injection with a needle. A total of 339 weaned piglets were allocated to 3 treatment groups: Intradermal Application of Liquids (IDAL) pigs, vaccinated against Porcine Circovirus type 2 (PCV2) by means of intradermal vaccination using a needle-free device Porcilis® PCV ID; Intramuscular (IM) pigs vaccinated against PCV2 with Porcilis® PCV intramuscularly with a needle; CONTROL pigs were managed identically but did not receive any vaccine injection. At the time of the injection, the reaction of IDAL piglets was similar to control piglets, whereas a greater percentage of piglets vaccinated intramuscularly displayed high-pitch vocalizations (7% CONTROL, 7% IDAL, 32% IM) and retreat attempts (3% CONTROL, 7% IDAL, 39% IM). The day after vaccination, IDAL piglets did not differ from the control piglets for any of the behavioural variables studied through scan samplings. IM piglets showed a lower frequency of social negative interactions (p = 0.001) and rope manipulation (p = 0.04) compared to the CONTROL group. Resting postures did not differ between treatments. At 28 h post-vaccination, IDAL piglets presented lower blood C-reactive protein levels (CONTROL = 20 μg/mL; IDAL = 39 μg/mL; IM = 83 μg/mL, p < 0.0001) and blood Haptoglobin (CONTROL = 1.8 mg/mL; IDAL = 1.9 mg/mL vs. IM = 3.1 mg/mL, p < 0.0001) compared to IM piglets. Salivary chromogranin A and alpha-amylase did not differ between treatment groups when measured 25 min post-vaccination. The method of vaccination did not affect the growth of the piglets or their rectal temperature. These results support that needle-free intradermal vaccination reduces vaccination-related pain in growing pigs.