Existing literature on the association between influenza vaccination and COVID-19 infection/outcomes is conflicting. Therefore, we aimed to investigate the association between influenza vaccination and COVID-19 outcomes in a large cohort of adults who participated in the SHARE (Survey of Health, Ageing, and Retirement in Europe). Information regarding influenza vaccination in the previous year, and medical and demographic characteristics, were self-reported. Positivity for COVID-19, symptomatology, and hospitalization were also ascertained using self-reported information. An adjusted logistic regression analysis (including 15 baseline factors or propensity score) was used to assess the association between influenza vaccination and COVID-19 outcomes. A total of 48,408 participants (mean age 67 years; 54.1% females) were included. The prevalence of influenza vaccination was 38.3%. After adjusting for 15 potential confounders, influenza vaccination was significantly associated with a lower risk of positivity for COVID-19 (OR = 0.95; p < 0.0001), symptomatic forms (OR = 0.87; p < 0.0001), and hospitalization for COVID-19 (OR = 0.95; p < 0.0001). The results were similar when using a propensity score approach. In conclusion, influenza vaccination may be beneficial for the prevention of COVID-19, as the present study found that influenza vaccination was associated with a small/moderate lower risk of COVID-19 infection and adverse outcomes.