The relevance of this study is driven by the increasing uncertainty in the global economy. This article examines the dynamics of the level and volatility of sovereign bond yields in five Arctic countries during the period 2021–2024. The study is based on a dataset of average yields of 10-year sovereign bonds from Arctic countries, Brent oil prices, and yield spreads. Quantile regression models and GARCH were calculated. The scientific contribution of the article lies in the analysis of new data, which includes price crises, the period of sectoral sanctions against Russia. The results demonstrated that in the long term, the sovereign bond markets of Arctic countries are interconnected, depend on “past news,” follow the U.S. bond market, and are influenced by oil price shocks. Oil price shocks disrupt the interconnectedness of sovereign bond markets. Based on the behavior of sovereign bond yields in response to oil price shocks, two types of countries can be distinguished—oil producers and oil consumers. Price volatility in the oil market tends to reduce bond yield volatility in Iceland and Sweden but increases it for the United States, Russia, and Norway. In the short term, oil prices are positively correlated with the volatility of Norwegian sovereign bond yields. Russian sovereign bonds experienced significant shocks due to the imposition of sanctions in the spring of 2022, followed by a return to the average trend. Russian sovereign bonds are strongly correlated with oil prices only during non-crisis periods.