Due to its leading role in fighting infections, the human immune system has been the focus of many studies in the context of Coronavirus disease 2019 (COVID-19). In a worldwide effort, the scientific community has transitioned from reporting about the effects of the novel coronavirus on the human body in the early days of the pandemic to exploring the body’s many immunopathological and immunoprotecting properties that have improved disease treatment and enabled the development of vaccines. The aim of this review is to explain what happens to the immune system after recovery from COVID-19 and/or vaccination against SARS-CoV-2, the virus that causes the disease. We detail the way in which the immune system responds to a SARS-CoV-2 infection, including innate and adaptive measures. Then, we describe the role of vaccination, the main types of COVID-19 vaccines and how they protect us. Further, we explain the reason why immunity after COVID-19 infection plus a vaccination appears to induce a stronger response compared with virus exposure alone. Additionally, this review reports some correlates of protection from SARS-CoV-2 infection. In conclusion, we reinforce that vaccination is safe and important in achieving herd immunity.