Background The continued occurrence of more contagious Severe Acute Respiratory Syndrome Coronavirus 2 (SARS-CoV-2) variants and waning immunity over time require ongoing reevaluation of the vaccine effectiveness (VE). This study aimed to estimate the effectiveness in 2 age groups (12 to 59 and 60 years or above) of 2 or 3 vaccine doses (BNT162b2 mRNA or mRNA-1273) by time since vaccination against SARS-CoV-2 infection and Coronavirus Disease 2019 (COVID-19) hospitalization in an Alpha-, Delta-, or Omicron-dominated period. Methods and findings A Danish nationwide cohort study design was used to estimate VE against SARS-CoV-2 infection and COVID-19 hospitalization with the Alpha, Delta, or Omicron variant. Information was obtained from nationwide registries and linked using a unique personal identification number. The study included all previously uninfected residents in Denmark aged 12 years or above (18 years or above for the analysis of 3 doses) in the Alpha (February 20 to June 15, 2021), Delta (July 4 to November 20, 2021), and Omicron (December 21, 2021 to January 31, 2022) dominated periods. VE estimates including 95% confidence intervals (CIs) were calculated (1-hazard ratio∙100) using Cox proportional hazard regression models with underlying calendar time and adjustments for age, sex, comorbidity, and geographical region. Vaccination status was included as a time-varying exposure. In the oldest age group, VE against infection after 2 doses was 90.7% (95% CI: 88.2; 92.7) for the Alpha variant, 82.3% (95% CI: 75.5; 87.2) for the Delta variant, and 39.9% (95% CI: 26.3; 50.9) for the Omicron variant 14 to 30 days since vaccination. The VE waned over time and was 73.2% (Alpha, 95% CI: 57.1; 83.3), 50.0% (Delta, 95% CI: 46.7; 53.0), and 4.4% (Omicron, 95% CI: −0.1; 8.7) >120 days since vaccination. Higher estimates were observed after the third dose with VE estimates against infection of 86.1% (Delta, 95% CI: 83.3; 88.4) and 57.7% (Omicron, 95% CI: 55.9; 59.5) 14 to 30 days since vaccination. Among both age groups, VE against COVID-19 hospitalization 14 to 30 days since vaccination with 2 or 3 doses was 98.1% or above for the Alpha and Delta variants. Among both age groups, VE against COVID-19 hospitalization 14 to 30 days since vaccination with 2 or 3 doses was 95.5% or above for the Omicron variant. The main limitation of this study is the nonrandomized study design including potential differences between the unvaccinated (reference group) and vaccinated individuals. Conclusions Two vaccine doses provided high protection against SARS-CoV-2 infection and COVID-19 hospitalization with the Alpha and Delta variants with protection, notably against infection, waning over time. Two vaccine doses provided only limited and short-lived protection against SARS-CoV-2 infection with Omicron. However, the protection against COVID-19 hospitalization following Omicron SARS-CoV-2 infection was higher. The third vaccine dose substantially increased the level and duration of protection against infection with the Omicron variant and provided a high level of sustained protection against COVID-19 hospitalization among the +60-year-olds.