How to avoid this first process, the one before sending the event to the parent ?

#include <QtWidgets>

class MyWidget : public QWidget {
public:
    MyWidget(QWidget *parent = nullptr) : QWidget(parent) {
    }

    void paintEvent(QPaintEvent *event) override {
        QPainter painter(this);
        painter.fillRect(rect(), Qt::white);
    }

protected:
    void wheelEvent(QWheelEvent *event) override {
        qDebug() << "Wheel event on widget:" << objectName();
        event->ignore();
    }
};

class EventFilter : public QObject {
    Q_OBJECT

public:
    EventFilter(QObject *parent = nullptr) : QObject(parent) {}

protected:
    bool eventFilter(QObject *obj, QEvent *event) override {
        if (event->type() == QEvent::Wheel) {
            QWheelEvent *wheelEvent = static_cast<QWheelEvent*>(event);

            // Propagate the wheel event to other widgets in the layout
            QList<QWidget*> widgets = obj->findChildren<QWidget*>();
            for (QWidget *widget : widgets) {
                if (widget != obj) {
                    QApplication::sendEvent(widget, new QWheelEvent(
                        wheelEvent->position(), wheelEvent->globalPosition(),
                        wheelEvent->pixelDelta(), wheelEvent->angleDelta(),
                        wheelEvent->buttons(), wheelEvent->modifiers(),
                        wheelEvent->phase(), wheelEvent->inverted()
                    ));
                }
            }

            event->accept();
            return true;
        }

        return QObject::eventFilter(obj, event);
    }
};

class MyMainWindow : public QMainWindow {
public:
    MyMainWindow(QWidget *parent = nullptr) : QMainWindow(parent) {
        setObjectName("MainWindow");

        centralWidget_ = new QWidget;
        centralWidget_->setObjectName("CentralWidget");
        layout_ = new QVBoxLayout(centralWidget_);

        for (int i = 0; i < 4; ++i) {
            MyWidget *widget = new MyWidget(this);
            widget->setObjectName("Widget " + QString::number(i));
            layout_->addWidget(widget);
        }

        setCentralWidget(centralWidget_);
        installEventFilter(&eventFilter_);
    }

private:
    QWidget *centralWidget_;
    QVBoxLayout *layout_;
    EventFilter eventFilter_;
};

int main(int argc, char *argv[]) {
    QApplication app(argc, argv);

    MyMainWindow mainWindow;
    mainWindow.show();

    return app.exec();
}

#include "main.moc"

As excepted, my event is propagated to the other widgets but the widget that originally received the event receive it twice. How to fix this ?

You mean calling installEventFilter on each widget

No, calling installEventFilter on top most widget (your main window for example)...

#include <QDebug>
#include <QLabel>
#include <QVBoxLayout>
#include <QWidget>

#include "mainwindow.h"

MainWindow::MainWindow(QWidget *parent)
    : QMainWindow(parent)
{
    QVBoxLayout* vLayout = new QVBoxLayout();
    vLayout->setSpacing(0);

    QLabel* widget1 = new QLabel("widget1");
    QLabel* widget2 = new QLabel("widget2");
    vLayout->addWidget(widget1);
    vLayout->addWidget(widget2);

    QWidget* centralWidget = new QWidget();
    centralWidget->setLayout(vLayout);

    setCentralWidget(centralWidget);

    installEventFilter(this);
}

bool MainWindow::eventFilter(QObject *obj, QEvent *event)
{
    if (event->type() == QEvent::Wheel)
    {
        qDebug() << "Wheelevent";
        return true;
    }

    return QMainWindow::eventFilter(obj, event);
}

I run Qt 5.15 under Linux (Xorg desktop). I do not have Qt6. This code debugs out "Wheelevent" when I roll the wheel anywhere over the main window, whether inside the QLabels or not.

So either it's different at Qt6 (doubt it), I have misunderstood and this code does not represent your situation (I think it does) or where you say

MyWidget which has the wheelEvent function overrided

maybe if your override "eats" the wheel event (i.e. returns true) then that prevents the propagation you are wanting?
UPDATE
I tried subclassing the QLabels and overriding the eventFilter(). I still always received the MainWindows wheel event, after the label's wheel event, regardless of whether the latter's eventFilter() returned true or false. So it seems you should too?

You mean calling installEventFilter on each widget which must receive the propagated event ? Can you provide some code example please ?

Might be a silly question but did you install the filter on your widgets ?

You may have to install the eventFilter() on the application rather than the main window?