<p>This study utilizes the Markov-switching copula approach along with CoVaR-based risk measures to investigate the dynamic risk spillovers from crude oil to significant agricultural commodities such as wheat, corn, soybeans, soybean oil, rice, and oats. It captures the unique risk spillover characteristics. For wheat, the upward risk spillover from crude oil is more prominent. In contrast, most other agricultural products experience greater downside risk spillovers, indicating that drops in oil prices have a more profound impact. Soybeans and soybean oil exhibit relatively high risk spillovers, which can be attributed to their close connection with the biofuel market. On the contrary, oats are the least sensitive to oil price fluctuations, as they are more influenced by local supply–demand dynamics. Moreover, global crises like the COVID-19 pandemic and the Russia–Ukraine conflict significantly intensify these risk spillovers. The KS test results confirm the asymmetric nature of risk transmission. These findings are crucial for policymakers and investors to formulate targeted risk management strategies and diversify investment portfolios.</p>