Vaccines for the prevention of coronavirus disease 2019 (COVID-19) started to be developed since the initiation of the COVID-19 pandemic. Up to now, four vaccines have been authorized by international agencies such as European Medicines Agency (EMA). Two are DNA vaccines (ChAdOx1 nCov-19 and Ad26.COV2.S) and two mRNA vaccines (BNT162b2 and mRNA-1273). The administration of the vaccines has been associated with a strong decrease in the infections by SARS-CoV-2 and deaths associated with it. However, in parallel to these results, some rare adverse events have also been described. In that sense, events of thrombosis, thrombocytopenia, and hemorrhage have been described in close temporal proximity to the administration of the DNA vaccines ChAdOx1 nCov-19 and Ad26.COV2.S, but also mRNA vaccines. Recent scientific reports have been released with updated information on the possible association of thrombotic thrombocytopenia and COVID-19 vaccines. On the other hand, since the initiation of the vaccination campaigns, adverse hypersensitivity reactions have been described after mRNA and DNA vaccines administration for COVID-19. Although globally these adverse events are rare, a high proportion of the world population will be exposed to these vaccines. For that reason, their safety and tolerance should be carefully considered. In this review, we provide an updated review of the last scientific findings that can explain the rare side effects that the vaccines for COVID-19 can produce.