It is known that influenza, herpes zoster, pneumococcal and pertussis infections may increase morbidity and mortality in older people. Vaccinations against these pathogens are effective in older adults. Frailty seems to be an important determinant of vaccination rates, yet data supporting this association are still missing. Therefore, we aimed to investigate the prevalence of four recommended vaccinations (influenza, herpes zoster, pneumococcal and diphtheria-tetanus-pertussis) and the association with multidimensional frailty assessed using a self-reported comprehensive geriatric assessment tool, i.e., the multidimensional prognostic index (SELFY-MPI). Older participants visiting the outpatient clinic of Azienda Ospedaliera Universitaria, Palermo, Italy were included. The SELFY-MPI questionnaire score was calculated based on eight different domains, while the vaccination status was determined using self-reported information. We included 319 participants from the 500 initially considered (63.8%). Vaccination against influenza was observed in 70.5% of the cases, whilst only 1.3% received the vaccination against diphtheria-tetanus-pertussis. Participants with higher SELFY-MPI scores were more likely to report vaccination against pneumococcus (45.6 vs. 28.3%, p = 0.01), whilst no significant differences were observed for the other vaccinations. In conclusion, the coverage of recommended vaccinations is low. Higher SELFY-MPI scores and vaccination status, particularly anti-pneumococcus, appear to be associated, but future studies are urgently needed for confirming that frailty is associated with vaccination status in older people.