Background The occurrence of COVID-19 led to the rapid development of several vaccines which were distributed around the world. Even though there had been a vast amount of information about both virus and vaccination, this process was potentially related to increased anxiety and thus affected the vaccination process. Objective The present study examined anxiety levels and body vigilance in subjects reporting for COVID-19 vaccination at different vaccination sites. Methods Instruments used included general socio-demographic questionnaires and specifically constructed ones such as generalized anxiety disorder (GAD), body vigilance scale (BVS), and coronavirus anxiety scale (CAS). Results A total of 227 subjects enrolled in the study reported mild GAD and CAS scores and relatively low scores on BVS. When the subjects were divided according to a vaccination site (under supervision and non-supervised), it turned out that subjects vaccinated under supervision were more anxious (higher GAD and CAS) and had their body vigilance increased. Conclusion In conclusion, there is a need for highlighting the importance of efficient planning and organization of vaccination process, since to a certain extent it is driven by both anxiety and body vigilance.