Current worldwide mRNA vaccination against SARS-CoV-2 by intramuscular injection using a needled syringe has greatly protected numerous people from COVID-19. An intramuscular injection is generally well tolerated, safer and easier to perform on a large scale, whereas the skin has the benefit of the presence of numerous immune cells, such as professional antigen-presenting dendritic cells. Therefore, intradermal injection is considered superior to intramuscular injection for the induction of protective immunity, but more proficiency is required for the injection. To improve these issues, several different types of more versatile jet injectors have been developed to deliver DNAs, proteins or drugs by high jet velocity through the skin without a needle. Among them, a new needle-free pyro-drive jet injector has a unique characteristic that utilizes gunpower as a mechanical driving force, in particular, bi-phasic pyrotechnics to provoke high jet velocity and consequently the wide dispersion of the injected DNA solution in the skin. A significant amount of evidence has revealed that it is highly effective as a vaccinating tool to induce potent protective cellular and humoral immunity against cancers and infectious diseases. This is presumably explained by the fact that shear stress generated by the high jet velocity facilitates the uptake of DNA in the cells and, consequently, its protein expression. The shear stress also possibly elicits danger signals which, together with the plasmid DNA, subsequently induces the activation of innate immunity including dendritic cell maturation, leading to the establishment of adaptive immunity. This review summarizes the recent advances in needle-free jet injectors to augment the cellular and humoral immunity by intradermal injection and the possible mechanism of action.