Vaccination has been promoted to mitigate the spread of the coronavirus disease 2019 (COVID-19). Vaccination is expected to reduce the probability of and alleviate the seriousness of COVID-19 infection. Accordingly, this might significantly change an individual's subjective well-being and mental health. We observed the same individuals on a monthly basis from March 2020 to September 2021 in all parts of Japan. Then, large sample panel data (N = 54,007) were independently constructed. Using the data, we compared the individuals' perceptions of COVID-19, subjective well-being, and mental health before and after vaccination. Furthermore, we compared the effect of vaccination on the perceptions of COVID-19 and mental health for females and males. We used the fixed-effects model to control for individual time-invariant characteristics. The major findings were as follows: First, the vaccinated people perceived the probability of getting infected and the seriousness of COVID-19 to be lower than before vaccination. This was observed not only when we used the whole sample but also when we used subsamples of males and a subsample of females. Second, subjective well-being and mental health improved. The same results were also observed using the subsample of females, whereas the improvements were not observed when using a subsample of males. This implies that females' quality of life was more likely to be improved by vaccination than males' one. The novelty of the work is to show the gender difference in the vaccination effects.