The spread of coronavirus has adversely affected the world health and economic conditions. Consistent with this purview, this research attempts to examine the volatility spillover dynamics between oil, gold and stock markets of BRIC economies during the COVID-19. We employ bivariate BEKK-GARCH and DCCGARCH models for analyzing the volatility spillover from November 17, 2019 to December 31, 2020. The sample comprises of two oil importing countries namely India and China along with two oil exporting one, Russia and Brazil. We find no volatility spillover evidence between oil and stock market of Brazil; however, oil and Russian stock market show the persistence of volatility spillover that is bi-directional. There is unidirectional volatility spillover from Indian and Chinese stock market to oil. Further, we find no evidence of volatility spillover between gold and stock market of Brazil, whereas in Russia and China there is persistence of bidirectional volatility spillover. Finally, unidirectional spillover between gold and Indian stock market is observed. The findings of the study present useful insight for policy makers as these can be used to ascertain the direction of spillover among the integrated economies. Moreover, the same can be used by the portfolio investors to allocate the weights to different asset classes while making the investment decisions