<p>Commodity price volatility (CV) has been cited as a factor aggravating financial sector instability in commodity-dependent countries. This paper determines the threshold of commodity price volatility at which it generates an adverse effect on financial sector stability in Sub-Saharan African (SSA) countries. Based on a sample of 24 SSA countries, the study covers the period 2003–2023 and uses the difference-generalized method of moments estimator to estimate the dynamic panel model with threshold effects. The results reveal that above thresholds of 4.6 for the composite financial stability index and 4.4 for the z-score index, commodity price volatility has perverse effects on the financial system of SSA economies. In addition, regulation improves countries’ financial stability, while total market openness increases the risk of financial instability. These results call for a moderate degree of market openness, combined with flexible regulation to ensure a stable financial sector in SSA economies.</p>