The tuberculosis vaccine, Bacille Calmette-Guerin (BCG), also affords protection against non-tuberculous diseases attributable to heterologous immune mechanisms such as trained innate immunity, activation of non-conventional T-cells, and cross-reactive adaptive immunity. Aerosol vaccine delivery can target immune responses toward the primary site of infection for a respiratory pathogen. Therefore, we hypothesised that aerosol delivery of BCG would enhance cross-protective action against severe acute respiratory syndrome coronavirus-2 (SARS-CoV-2) infection and be a deployable intervention against coronavirus disease 2019 (COVID-19). Immune parameters were monitored in vaccinated and unvaccinated rhesus macaques for 28 days following aerosol BCG vaccination. High-dose SARS-CoV-2 challenge was applied by intranasal and intrabronchial instillation and animals culled 6–8 days later for assessment of viral, disease, and immunological parameters. Mycobacteria-specific cell-mediated immune responses were detected following aerosol BCG vaccination, but SARS-CoV-2-specific cellular- and antibody-mediated immunity was only measured following challenge. Early secretion of cytokine and chemokine markers associated with the innate cellular and adaptive antiviral immune response was detected following SARS-CoV-2 challenge in vaccinated animals, at concentrations that exceeded titres measured in unvaccinated macaques. Classical CD14+ monocytes and Vδ2 γδ T-cells quantified by whole-blood immunophenotyping increased rapidly in vaccinated animals following SARS-CoV-2 challenge, indicating a priming of innate immune cells and non-conventional T-cell populations. However, viral RNA quantified in nasal and pharyngeal swabs, bronchoalveolar lavage (BAL), and tissue samples collected at necropsy was equivalent in vaccinated and unvaccinated animals, and in-life CT imaging and histopathology scoring applied to pulmonary tissue sections indicated that the disease induced by SARS-CoV-2 challenge was comparable between vaccinated and unvaccinated groups. Hence, aerosol BCG vaccination did not induce, or enhance the induction of, SARS-CoV-2 cross-reactive adaptive cellular or humoral immunity, although an influence of BCG vaccination on the subsequent immune response to SARS-CoV-2 challenge was apparent in immune signatures indicative of trained innate immune mechanisms and primed unconventional T-cell populations. Nevertheless, aerosol BCG vaccination did not enhance the initial clearance of virus, nor reduce the occurrence of early disease pathology after high dose SARS-CoV-2 challenge. However, the heterologous immune mechanisms primed by BCG vaccination could contribute to the moderation of COVID-19 disease severity in more susceptible species following natural infection.