(1) Background: Vaccines for seasonal influenza are a good preventive and cost-effective strategy. However, it is unknown if and how these economic evaluations include the adverse events following immunization (AEFI), and what the impact of such inclusion is on the health economic outcomes. (2) Methods: We searched the literature, up to January 2020, to identify economic evaluations of seasonal influenza vaccines that considered AEFIs. The review protocol was published in PROSPERO (CDR42017058523). (3) Results: A total of 52 economic evaluations considered AEFI-related parameters in their analyses, reflecting 16% of the economic evaluations on seasonal influenza vaccines in the initial study selection. Most studies used the societal perspective (64%) and evaluated vaccination of children (37%). Where considered, studies included direct medical costs of AEFIs (90%), indirect costs (27%), and disutilities/quality-adjusted life years loss due to AEFIs (37%). The majority of these studies accounted for the effects of the costs of AEFI on cost-effectiveness for Guillain–Barré syndrome. In those papers allowing cost share estimation, direct medical cost of AFEIs was less than 2% of total direct costs. (4) Conclusions: Although the overall impact of AEFIs on the cost-effectiveness outcomes was found to be low, we urge their inclusion in economic evaluations of seasonal influenza vaccines to reflect comprehensive reports for the decision makers and end-users of the vaccination strategies.