This study examines the dynamic connectedness among WTI crude oil, Tadawul, QSE, and MSM.30 indices using a quantile-based framework to differentiate between average (50th percentile) and extreme (95th percentile) market conditions. The results highlight significant differences in the transmission and reception of shocks across these financial markets depending on the market state. Under average conditions, markets exhibit high self-dependence, with over 93% of variance in each market explained by its own shocks. Cross-market spillovers remain low, with total connectedness indices (TCI) reflecting limited systemic interdependence (7.20%). MSM.30 emerges as the most influential transmitter of shocks, while WTI acts as a net receiver. In contrast, extreme conditions reveal a sharp increase in cross-market spillovers, as evidenced by a substantially higher TCI (76.07%). Markets exhibit reduced self-dependence, with a larger proportion of variance attributed to external shocks. Notably, Tadawul and QSE transition into net transmitters, while WTI becomes a significant net receiver, underscoring its vulnerability during crises. The elevated cross-market connectedness during extremes emphasizes systemic risks and heightened interdependence, with implications for portfolio diversification and risk management. The findings provide valuable insights for policymakers and investors in mitigating contagion risks and formulating strategies to enhance financial stability during turbulent times.