Objectives: This study aimed to examine the effectiveness of vaccination to improve mental health among employees in Japan based on a prospective study. Methods: The data were retrieved from the Employee Cohort Study conducted during the COVID-19 pandemic in Japan (E- COCO-J) at T1 (4–10 February 2021) and T2 (22–29 June 2021). Psychological distress was measured by using an 18-item scale of the Brief Job Stress Questionnaire (BJSQ). The analytic sample was limited to individuals employed at both T1 and T2 without missing covariates. Vaccination status was measured at T2. Statistical analysis was conducted to test the differential change in the psychological distress at T1 and T2 with the time × group interactions by using repeated ANOVA, adjusting for the covariates (gender, age, marital status, education, chronic disease, company size, industry, and occupation). Results: Of the total sample (N = 948), 105 (11.1%) were vaccinated at least once at T2. The crude mean scores of psychological distress at T1 and T2 were 41.8 and 42.0 for vaccinated participants and 41.2 and 41.2 for nonvaccinated participants, respectively, with no significant effect of having been vaccinated (Cohen's d = 0.02, P = 0.833). After adjusting the covariates, there was no significance (P = 0.446). Conclusions: The COVID-19 vaccination was supposed to have a limited effect on mental health among Japanese employees in an early phase of vaccination. To keep providing mental health care for employees is important even after starting the vaccination program.