This study assessed the association between COVID-19 vaccines, SARS-CoV-2 infection and the risk of thrombocytopenia and venous thromboembolism (VTE). This self-controlled case series study used hospital records between 1st February 2021 and 28th February 2022 linked to the national immunisation registry and COVID-19 surveillance data in Malaysia. Conditional Poisson regression was used to estimate incidence rate ratios (IRR) of events in the risk period (day 1-21 post-exposure) relative to control period with the corresponding 95% confidence interval (CI) adjusted for calendar period. We found no significant increased risk of thrombocytopenia in 1-21 days following BNT162b2, CoronaVac and ChAdOx1 vaccines while the risk was increased following SARS-CoV-2 infection (IRR 15.52, 95% CI 13.38-18.00). Similarly, vaccination with BNT162b2, CoronaVac, or ChAdOx1 was not associated with an increased risk of VTE during the 1-21 days risk period. SARS-CoV-2 infection was associated with increased risk of VTE (IRR 39.84, 95% CI 27.45-32.44). Our findings showed low event rates of thrombocytopenia and VTE following booster vaccination with comparable safety profiles between those who received homologous and heterologous booster combinations. Our findings showed the risk of thrombocytopenia and VTE was not increased after COVID-19 vaccination while the risks were substantially higher after SARS-CoV-2 infection.