From the perspective of tail risk, this paper examines the spillover effects between economic policy uncertainty (EPU) and stock markets in 16 countries (regions) by employing the spillover-coefficient network and ΔCoVaR spillover network. Firstly, the risk absorption and diffusion capabilities of each node are analyzed through the systematic risk contribution index and systematic risk exposure index. Then, the Planar Maximally Filtered Graph (PMFG) is used to filter redundant information and obtain the ΔCoVaR spillover network that retains only the critical paths. Lastly, the study explores the existence, direction, strength and community characteristics of tail risk spillover. The findings indicate that there is a bi-directional and asymmetric tail risk spillover effect between global EPU and stock markets, with more pronounced outward shocks in economies such as Russia, India, and Hong Kong SAR of China. From the perspective of spillover coefficient, stock markets are more likely to be the risk-spillover. However, in terms of extreme risk spillover values, the intensity and scope of tail risk transmission of EPU nodes are significantly greater than those of the stock market, making them more susceptible to risk accumulation. The spillover between EPU and stock market exhibits a community phenomenon, with core risk sources within the community, such as the EPU of Brazil, Russia, Hong Kong SAR of China, and India. For the “policy market” in China, it is of great significant to include the economic policy uncertainty (EPU) in the assessment system of financial Macro-prudential indicator. This enables a multi-level and comprehensive real-time understanding of the risks, risk transmission paths, and core sources of risks that may be brought by EPU.