This study examines the stress spillover of the stock market, bond market and exchange market among the BRICS countries during the COVID-19 pandemic. Following the principal component analysis approach, a composite stress index is developed for each country to measure the stress level in BRICS. We use the dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH) approach to investigate the dynamic connectedness among the countries. While the stress in the stock market and exchange market is measured by their respective volatility, the bond market fluctuation is examined by using the yield spreads between the 10-year government bonds yield of BRICS countries and 10-year government bond yield of the United States. The study finds that among all the BRICS countries, India and China have been major transmitters as well as receivers of the stress spillover. The findings of our study contribute to the literature by highlighting the importance of understanding the behaviour and interconnectedness of the economies in a group. The study also provides valuable insights to policymakers who need to be more vigilant about the financial crisis and spillover among the countries.