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This research focuses on the direct and indirect systemic risk spillovers among East Asian, European, and U.S. stock markets under the COVID-19 pandemic. Based on the GARCH-Copula-CoVaR model, we construct the direct spillover matrix of systemic risk and further explore the indirect spillover path through R-vine. The empirical results first show via the direct path that Hong Kong exhibited the largest change in value of risk after the pandemic erupted. Second, the indirect path is that European and U.S. stock market risks are transmitted to China domestically via Hong Kong and Japan. The key nodes provide reference for risk prevention. • Focus on the direct and indirect systemic risk spillovers under the COVID-19 pandemic. • We construct the direct spillover matrix of systemic risk and further explore the indirect spillover path through R-vine. • Results first show in the direct path that Hong Kong exhibited the largest change value of risk after the pandemic erupted. • The indirect path is that European and U.S. stock market risks are transmitted to China domestically via Hong Kong and Japan. [ABSTRACT FROM AUTHOR]