Background: In March 2021, several European countries suspended the use of the AZD1222 (Oxford–AstraZeneca) COVID-19 vaccine because of thromboembolic safety concerns. Reports from Norway and Germany subsequently described patients with venous thrombosis and thrombocytopenia within 5 to 16 days of vaccination. Objective: To evaluate the risk for outcomes related to thrombosis and thrombocytopenia after AZD1222 or BNT162b2 (Pfizer–BioNTech) COVID-19 vaccination. Design: Nationwide exploratory retrospective cohort study. Setting: Danish linkable registers on vaccinations, hospitalizations, occupation, and other covariates. Participants: 355 209 Danish frontline personnel designated for priority COVID-19 vaccination followed from 27 December 2020 (the day of the first COVID-19 vaccination in Denmark) to 13 April 2021. Measurements: Study outcomes were cerebral venous sinus thrombosis, splanchnic vein thrombosis, pulmonary embolism, deep venous thrombosis, arterial thrombosis, thrombocytopenia, and death. Cumulative incidences of study outcomes within 28 days of vaccination and unvaccinated risk time were compared using adjusted survival curves resulting in risk differences (RDs) at day 28 after vaccination. Adjustment for birth cohort, sex, calendar period, occupation, comorbid conditions, and prescription drug use was included. Results: Vaccination with AZD1222 versus no vaccination was associated with a significant RD at day 28 for deep venous thrombosis (RD, 8.35 [95% CI, 0.21 to 16.49] per 100 000 vaccinations). The RDs for cerebral venous sinus thrombosis (RD, 1.68 [CI, -0.64 to 4.00] per 100 000 vaccinations) and thrombocytopenia (RD, 2.39 [CI, -1.09 to 5.87] per 100 000 vaccinations) were not significant. No adverse associations were seen for BNT162b2 vaccination. Limitation: No medical record review; surveillance bias. Conclusion: In this exploratory retrospective cohort study among frontline personnel in Denmark, receipt of the AZD1222 vaccine was associated with a small excess risk for deep venous thrombosis. Although the corresponding risks for the more rare and severe thrombotic outcomes (such as cerebral venous sinus thrombosis) were not statistically significantly increased, statistical precision was low, and clinically relevant risks could not be excluded with certainty. There was no statistically significant association of BNT162b2 vaccination with thrombotic or thrombocytopenic events.