This study analyzes how sectoral stock volatility in the GCC region responds to global financial uncertainty shocks originating from the U.S. (CBOE VIX), Europe (VSTOXX-50), Bitcoin investors’ Sentiment Indices (BSI), and disaggregated global Financial Stress Indicators (FSI) by using both the “Frequency” and “Time” domain TVP-VAR based connectivity approaches. The “Time” and “Frequency” domain TVP-VAR results indicate that the Energy, Financials, Materials and REIT sectors experience the highest shock spillover from the U.S. and European equity market uncertainty (VIX and VSTOXX-50) for the overall and long-term investment horizons. Whereas, all the five disaggregated global financial stress indicators and BSI transmit higher shocks spillovers towards the sectoral stock conditional volatility of Energy and Materials sectors for the overall and long-term investment horizons. Furthermore, the “Frequency” domain TVP-VAR approach shows that overall shocks spillovers are higher in long-term and intensified during the COVID-19 period. The Energy, Materials, and REIT sectors’ high sensitivity to U.S.VIX and Euro.VSTOXX-50 shocks calls for sector-specific hedging—such as sectors remain least susceptibility to long-term U.S. and European equity risk shocks such as Utility. Over the long-term and overall investment horizons, the Energy and Material sectors’ position as the main shock recipient from all five global financial stress components and the BSI underscores its role as a volatility hub. Policymakers should enforce stress tests and capital buffers for energy and material focused firms, while proactive liquidity management and commodity hedging are vital during global financial stress and BSI spikes to limit funding and operational risks.