Head-to-head (H2H) studies enable the direct comparison of several alternative therapeutic approaches and thus provide the evidence-based foundation for the relative position of one treatment as compared to others for a specific indication. These trials constitute an important addition to placebo-controlled clinical trials. Among the controlled clinical trials not performed by the pharmaceutical industry, there are a relevant number of H2H trials for connective tissue diseases (CTDs) and vasculitides, particularly for systemic lupus erythematosus (SLE), systemic sclerosis (SSc), and anti-neutrophil cytoplasmic antibody (ANCA)-associated vasculitis (AAV). This article encompasses a review of the H2H trials for CTDs and vasculitides and discusses their relevance for current treatment algorithms. For SLE the H2H trials were predominantly performed for the treatment of lupus nephritis, demonstrating the impact of low-dose cyclophosphamide and mycophenolate as well as azathioprine for maintenance therapy. In recent H2H trials rituximab could be established as induction and maintenance therapy for AAV, which has now been incorporated into current treatment guidelines. Further comparative trials will be necessary in order to select the most effective and safest treatment for every patient, in the sense of personalized medicine.