evidence: Megyn Kelly Regrets Getting the COVID Vaccine: 'I Would've Been Fine' Megyn Kelly revealed that she wishes she hadn't gotten the COVID-19 vaccine in her Thursday, September 7, installment of "The Megyn Kelly Show" podcast. [...] The journalist said that she had gotten COVID "many times" in the past, but after receiving the vaccine, she "tested positive for an autoimmune issue" during her annual physical.