In the process of responding to climate change, climate policy uncertainty has become an important inducement of risk contagion among financial markets. In this paper, we use MODWT and TVP-VAR-based joint spillover index model to study the correlation between the clean energy market and the metal market, and further explore the impact of different quantiles of climate policy uncertainty on the different distributions of total and static spillovers by using the cutting-edge quantile to quantile regression method. The results show that there is a significant dynamic spillover effect between the clean energy and metal markets, and the main manifestations are long-term spillovers, in which the clean energy and non-ferrous metals markets are mainly the spillover exporters, and the strategic metals markets are the main spillover recipients. The impact of climate policy uncertainty on the spillover effects of clean energy and metals markets is time-varying and asymmetrical, and the impact is higher during the downturn of the market state. The findings of the study can provide an empirical basis for investors to build diversified portfolios and for regulators to formulate climate policies.