Uptake of vaccination against COVID-19 is strongly affected by concerns about adverse effects. Research on nocebo effects suggests that these concerns can amplify symptom burden. To investigate whether positive and negative expectations prior to COVID-19 vaccination are associated with systemic adverse effects. This prospective cohort study analyzed the association of expected benefits and risks of vaccination, adverse effects at first vaccination, and observed adverse effects in close contacts with severity of systemic adverse effects among adults receiving a second dose of messenger RNA (mRNA)-based vaccines between August 16 and 28, 2021. A total of 7771 individuals receiving the second dose at a state vaccination center in Hamburg, Germany, were invited to participate; of these, 5370 did not respond, 535 provided incomplete information, and 188 were excluded retrospectively. The mobile application m-Path was used for data collection. Primary outcome was a composite severity index of systemic adverse effects in 12 symptom areas measured once daily with an electronic symptom diary over 7 consecutive days. Data were analyzed by mixed-effects multivariable ordered logistic regression adjusted for prevaccine symptom levels and observation times. A total of 10 447 observations from 1678 individuals receiving vaccinations (BNT162b2 [Pfizer BioNTech] in 1297 [77.3%] and mRNA-1273 [Moderna] in 381 [22.7%]) were collected. The participants' median age was 34 (IQR, 27-44) years, and 862 (51.4%) were women. The risk for more severe adverse effects was higher for persons expecting a lower benefit of vaccination (odds ratio [OR] for higher expectations, 0.72 [95% CI, 0.63-0.83]; P < .001), expecting higher adverse effects of vaccination (OR, 1.39 [95% CI, 1.23-1.58]; P < .001), having experienced higher symptom burden at the first vaccination (OR, 1.60 [95% CI, 1.42-1.82]; P < .001), scoring higher on the Somatosensory Amplification Scale (OR, 1.21 [95% CI, 1.06-1.38]; P = .004), and if the vaccine mRNA-1273 was given rather than BNT162b2 (OR, 2.45 [95% CI, 2.01-2.99]; P < .001). No associations were seen for observed experiences. In this cohort study, several nocebo effects occurred in the first week after COVID-19 vaccination. The severity of systemic adverse effects was associated not only with vaccine-specific reactogenicity but also more negative prior experiences with adverse effects from the first COVID-19 vaccination, more negative expectations regarding vaccination, and tendency to catastrophize instead of normalize benign bodily sensations. Clinician-patient interactions and public vaccine campaigns may both benefit from these insights by optimizing and contextualizing information provided about COVID-19 vaccines.