The course of the COVID-19 pandemic has been critically altered by the availability of vaccines. To assess the risk of COVID-19 in the vaccinated, as compared to the unvaccinated population, as well as the comparative effectiveness of the BBIBP-CorV (Sinopharm), BNT162b2 (Pfizer/BioNTech), Gam-COVID-Vac (Sputnik V) and ChAdOx1 (AstraZeneca) vaccines in the prevention of clinical infection, we carried out a retrospective study of the incidence of clinical COVID-19 in the Belgrade city municipality of Voždovac among both vaccinated and unvaccinated individuals during a 4-month period between 1 July and 31 October 2021. The study included all individuals with a symptomatic infection confirmed by a positive PCR and/or antigen test. Only those who received two vaccine doses were considered as vaccinated. The results showed that of the Voždovac population of 169,567, a total of 81,447 (48%) individuals were vaccinated by the end of the study. Vaccination coverage increased with age, ranging from 1.06% in those below age 18, to even 78.8% in those above 65 years of age. More than one half (57.5%) of all those vaccinated received BBIBP-CorV, while 25.2% received BNT162b2, 11.7% Gam-COVID-Vac and 5.6% ChAdOx1. The overall risk of infection of the vaccinated vs. the unvaccinated was 0.53 (95% CI 0.45–0.61). Compared to the incidence of COVID-19 of 8.05 per 1000 in the unvaccinated population, the relative risk in the vaccinated was 0.35 (95% CI 0.3–0.41). The overall VE was 65%, differing widely among age groups and by vaccine. VE was 79% for BNT162b2, 62% for BBIBP-CorV, 60% for ChAdOx1 and 54% for Gam-COVID-Vac. The VE for BBIBP-CorV and BNT162b2 increased with age. The obtained results demonstrate a significant overall effectiveness of anti-COVID-19 vaccination, which, however, varied significantly among the analyzed vaccines, and was the highest for BNT162b2.