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Whether vaccination confers a protective effect against progression after hospital admission for COVID-19 remains to be elucidated. Observational study including all the patients admitted to San Paolo Hospital in Milan for COVID-19 in 2021. Previous vaccination was categorized as: none, one dose, full vaccination (two or three doses >14 days before symptoms onset). Data were collected at hospital admission, including demographic and clinical variables, age-unadjusted Charlson Comorbidity index (CCI). The highest intensity of ventilation during hospitalization was registered. The endpoints were in-hospital death (primary) and mechanical ventilation/death (secondary). Survival analysis was conducted by means of Kaplan-Meier curves and Cox regression models. Effect measure modification by age was formally tested. We included 956 patients: 151 (16%) fully vaccinated (18 also third dose), 62 (7%) one dose vaccinated, 743 (78%) unvaccinated. People fully vaccinated were older and suffering from more comorbidities than unvaccinated. By 28 days, the risk of death was of 35.9% (95%CI: 30.1–41.7) in unvaccinated, 41.5% (24.5–58.5) in one dose and 28.4% (18.2–38.5) in fully vaccinated (p = 0.63). After controlling for age, ethnicity, CCI and month of admission, fully vaccinated participants showed a risk reduction of 50% for both in-hospital death, AHR 0.50 (95%CI: 0.30–0.84) and for mechanical ventilation or death, AHR 0.49 (95%CI: 0.35–0.69) compared to unvaccinated, regardless of age (interaction p > 0.56). Fully vaccinated individuals in whom vaccine failed to keep them out of hospital, appeared to be protected against critical disease or death when compared to non-vaccinated. These data support universal COVID-19 vaccination.