Importance: Estimates of SARS-CoV-2 vaccine effectiveness (VE) from observational studies may be biased if healthier (healthy vaccinee effect; HVE) or less healthy individuals are preferentially vaccinated. Quantifying HVE is essential for interpreting VE estimates for informed vaccination policy. Objective: To assess the HVE by comparing all-cause mortality, cancer mortality, and deaths from external causes between vaccinated and unvaccinated individuals. Design, Setting, and Participants: This nationwide retrospective cohort study used Austrian national registry data from 2021 to August 31, 2022, and included the entire adult population of Austria with no previously documented SARS-CoV-2 infection on January 1, 2021. Cox regression was used to estimate hazard ratios (HRs) for mortality comparing vaccinated with unvaccinated individuals while adjusting for age, sex and Austrian long-term care allowance (ALTCA) recipiency, stratified by vaccinations (1 to 4). Analyses were performed for the whole observation period, 3-month blocks (quarters) and the 2 months with highest and lowest COVID-19 disease burden per year. Additionally, newly vaccinated individuals were matched on day of vaccination based on the aforementioned covariates plus highest education and HRs were assed for the two weeks following vaccination. Exposure: Receipt of at least 1 dose of SARS-CoV-2 vaccine. Main Outcomes and Measures: All-cause mortality, cancer mortality, and deaths from external causes (e.g., falls and transport accidents). Results: Among 7,416,077 eligible adults, all-cause mortality was lower among vaccinated than unvaccinated individuals regardless of vaccination number. Differences in risk were greatest shortly after vaccination and attenuated over time. E.g., adjusted all-cause HRs in the quarter after vaccination introduction were 0.46, 0.52, 0.38 and 0.43 for vaccinated vs unvaccinated individuals for 1, 2, 3 and 4 vaccinations, respectively. Respective HRs for the first 2 weeks after vaccination in the matched analysis were 0.24-0.32 across all vaccinations. Findings for cancer mortality and deaths from external causes paralleled those for all-cause mortality. Conclusions and Relevance: A pronounced HVE was observed for SARS-CoV-2 vaccination during the pandemic, evidenced by markedly lower mortality from causes not plausibly related to vaccination (cancer, external causes) among vaccinated individuals. This bias needs to be accounted for when interpreting observational estimates of SARS-CoV-2 VE.