We conducted a cohort study in Ontario, Canada to compare the risk of SARS-CoV-2 infection within 21 days of receiving a first vaccination, according to the setting in which vaccines were administered between March 1, 2021 and May 6, 2021. We used linked population-wide vaccination, laboratory testing, and health administrative databases. We created a 1:1 matched comparison group of unexposed individuals. We reported the overall risk of infection calculated at 3, 7, 10, 14, 18, and 21 days. This was completed overall and by setting of vaccine receipt.