The paper studies the approach of dynamic connectedness and spillover effects of volatility between selected GCC stock markets (Saudi Arabia, Qatar, Oman) and major global ETFs; SPDR Gold Shares ETF (GLD), SPDR S&P 500 ETF Trust (SPY), and Invesco DB US Dollar Index Bullish Fund (UUP). Using a quantile-based framework, we investigate the joint dynamics of market volatilities under average and extreme scenarios, the 50th and 95th percentiles. Findings indicate the major global ETFs and GCC stock markets exhibit considerable dynamic dependence on one another, particularly during extreme market stress times, revealing spillover volatility. The impact of global exchange-traded funds on volatility patterns observed in GCC markets is particularly pronounced during times of financial crisis. Of course, the currency (UUP), commodity (GLD) and equites (SPY) sections are no exception. This study contributes to understanding the risk transmission channels from GCC to international markets and vice versa, which is pertinent information for both investors and regulators in terms of managing risks arising from volatility spillovers.