This study empirically analyzes the dynamic relation between oil price returns, exchange rates, stock returns, and uncertainty shocks. Utilizing daily data, we employ a structural vector autoregression econometric technique to explore the impact of uncertainty in the Indian context. The study finds that COVID-19–induced uncertainty dampened the oil and stock markets. Further, findings suggest that COVID-19–induced uncertainty distorted the dynamics between oil and stock prices in the initial periods, due to the cautionary approach followed by investors. © 2021, Asia-Pacific Applied Economics Association. All rights reserved.