Vaccines may induce positive non-specific immune responses to other pathogens. This study aims to evaluate if influenza vaccination in the 2019–2020 season had any effect on the risk of SARS-CoV-2 confirmed infection in a cohort of health workers. During the first SARS-CoV-2 epidemic wave in Spain, between March and May 2020, a cohort of 11,201 health workers was highly tested by RT-qPCR and/or rapid antibody test when the infection was suspected. Later in June, 8665 of them were tested for total antibodies in serum. A total of 890 (7.9%) health workers were laboratory-confirmed for SARS-CoV-2 infection by any type of test, while no case of influenza was detected. The adjusted odds ratio between 2019–2020 influenza vaccination and SARS-CoV-2 confirmed infection was the same (1.07; 95% CI, 0.92–1.24) in both comparisons of positive testers with all others (cohort design) and with negative testers (test-negative design). Among symptomatic patients tested by RT-qPCR, the comparison of positive cases and negative controls showed an adjusted odds ratio of 0.86 (95% CI, 0.68–1.08). These results suggest that influenza vaccination does not significantly modify the risk of SARS-CoV-2 infection. The development of specific vaccines against SARS-CoV-2 is urgent.