Australia's Therapeutic Goods Administration and foreign affairs officials are working with Norwegian authorities to obtain information after deaths among elderly people who took the Pfizer vaccine.
"All the processes and the examinations are being done," Mr Morrison told 2GB radio.
"These cases in Norway, they are distressing.
"They are very aged people and they were in the last phases of life and they are very frail - this can happen with vaccinations, we know that, and that is why it is important to be very careful."
Mr Morrison was confident Australia's rollout would be safe, with Pfizer expected to be first cab off the rank.
Mr Morrison met overnight with the "first movers" group - Austria, Israel, Greece, Denmark, Czech Republic and Norway - to discuss developments with the response to COVID-19 and rollout of vaccines.
Labor leader Anthony Albanese said there had been millions of Pfizer jabs administered in the United States.
"Overwhelmingly it's going well. It's having an impact," he told 5AA radio.
He said the TGA was right to be cautious in approving vaccines, noting Australia would be one of the last industrialised countries to roll out its immunisation program.
Victoria has recorded four new coronavirus cases in hotel quarantine, with three believed to be linked to the Australian Open tennis tournament.
The state's health authorities are confident the positive results stem from residual virus in people's systems.
More than 70 players have been forced into hard lockdown in hotel quarantine, meaning they will not be able to train for two weeks.
Asked about the Australian Open going ahead, Mr Morrison said it was important to balance holding events with ensuring they are staged in the safest way possible.
"I like to keep things as open as possible," he said.
Mr Albanese lashed out at tennis stars complaining about previously agreed upon quarantine conditions.
"They should just harden up, frankly, these precious tennis players," he said.
They get paid a hell of a lot of money for just turning up.
NSW is considering allowing venues to ban patrons who refuse to receive the coronavirus jab.
Premier Gladys Berejiklian is urging more people to get tested with the current rate below authorities' target to confidently lift restrictions.
Restrictions are on track to ease in Brisbane on Friday after another day without local transmission.
Victoria has reopened to 16 local government areas in Sydney, while the ACT will drop quarantine requirements for people who have travelled to the northern beaches.