This study examines empirically the volatility comovement between crude oil prices and key agricultural commodities for a series of shocks faced by the global economy. Using both a multivariate Baba–Engle–Kraft–Kroner generalized autoregressive 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 fluctuations. This correlation pattern is particularly evident in the global financial crisis, the eurozone sovereign debt crisis, the Covid-19 crisis and the Russo-Ukrainian War, which confirms the increased spillover during the shocks. These findings indicate a pattern of contagion for all assets, which could be attributed to their common 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.