<p>Existing literature shows that investor decision-making is influenced by both salient thinking and higher-order moments of asset returns, yet few studies examine how salient thinking shapes risk connectedness. Using eleven years of high-frequency data, this study investigates the salience-based quantile interconnectedness in higher-order moments of China’s financial institutions. The empirical results show that interconnectedness differs dramatically across bearish, normal, and bullish market conditions, and strengthens substantially under extreme market states. The securities sector acts as the main net spillover transmitter across most conditions, while its dominant role weakens gradually as the indicator shifts from kurtosis to return, indicating that the connectedness structure depends on the moment type. In addition, higher-order moment interconnectedness exhibits significant time variation and increases sharply during major events, including stock market turbulence, the China–U.S. trade war, and the COVID-19 pandemic. These findings carry important empirical implications for regulators and investors seeking to improve macroprudential supervision and risk management practices.</p>