Vandalia, Illinois has many community events held throughout the year. The Grande Levée has evolved into an annual three-day event held the third weekend in June at the Vandalia Old State Capitol Historic Site. The purpose of the event is to provide the public with the opportunity to observe and participate in activities common to Illinois prior to 1840.

Other annual events include the July 4th, "American Celebration" which offer activities throught the day and capping off with a fantastic fireworks display. The Cemetery Walk features local presenters acting out interesting descriptions and events of the early settlers and prominent citizens of Vandalia, Illinois.

The Vandalia Illinois Lion's Club also presents one of the areas largest and well attended Halloween parades featuring many float entries and marching bands from the surrounding area.

During the second Saturday of December, the Vandalia Old State Capitol building holds its annual Christmas Open House which is illuminated with 250 candles and trimmed with 1800's decorations and includes candlight tours.