<p>Prior studies investigating the shared vision of mitigating carbon emissions has fostered the interconnection between carbon market and other markets. However, these studies are usually confined to developed countries, largely overlooking emerging economies. This study is the first attempt in the literature to investigate the extreme risk connectedness between carbon, green finance, and energy markets in China based on the value at risk and expected shortfall connectedness measures. After contributing to the existing literature by proposing a two-step analytical framework that consists of the hybrid GAS/GARCH model and the time–frequency BK model, we find that the extreme risk connectedness between carbon, green finance, and energy markets has suffered from intense external shocks during unexpected economic periods. The dominance of high-frequency connectedness over the low-frequency connectedness reflects the intensified contagion during economically turbulent times. The net extreme risk connectedness characterizes the carbon and green bond markets as the net receivers of spillovers and the low carbon stock and energy markets as the net transmitters of spillovers with significant market condition variations. In addition, this study contributes to the existing literature by offering a series of intriguing implications for policymakers formulating prudent risk monitoring framework and market participants optimizing investment portfolios using carbon and green assets.</p>