This study examines empirically the volatility comovement between crude oil prices and key agricultural commodities for a series of shocks faced by the global econ-omy. Using both a multivariate Baba–Engle–Kraft–Kroner generalized autoregres-sive conditional heteroscedasticity (BEKK-GARCH) model to estimate the volatile comovements and detect possible contagion effects and a wavelet coherence analysis to test for time–frequency connectedness, we find positive correlation patterns between cocoa, corn and cotton prices and West Texas Intermediate oil price fluc-tuations. This correlation pattern is particularly evident in the global financial cri-sis, the eurozone sovereign debt crisis, the Covid-19 crisis and the Russo-Ukrainian War, which confirms the increased spillover during the shocks. These findings indi-cate a pattern of contagion for all assets, which could be attributed to their com-mon trade and financial characteristics, having important implications for portfolio managers, investors and government agencies. Hence, new policies are essential for safeguarding oil and agricultural commodities markets against future crises.