In the global economy, energy and strategic minerals are vital to industrial production and national security. Their market dynamics are crucial for economic stability and represent significant factors in the international economic system. This chapter investigates volatility spillover effects in energy and critical mineral futures markets to reveal market interactions. The volatility spillovers are estimated through a time-varying volatility spillover index framework based on the time-varying parameter vector autoregressive (TVP-VAR) model. The empirical analysis centers on ten pivotal energy or critical mineral futures markets, including gold, silver, copper, natural gas, crude oil, lead, nickel, aluminum, tin, and zinc. The cross-market volatility transmission is delineated by initially disclosing the changes in the dynamic spillover in the whole system in response to significant events. Further, the directional spillovers among these markets are analyzed to figure out the primary roles that each market plays in the volatility transmission. The research aims to enhance understanding of the operational and dynamic aspects of the energy and critical mineral futures markets, offering theoretical guidance for investors in portfolio management and support for government entities in shaping market regulatory policies.