Abstract: Resource and energy security is an overarching and strategic issue bearing on the country’s economic and social development, and is crucial to national prosperity and development, the improvement of people’s lives, and long-term social stability. Selecting the closing prices of China’s coal, China’s power and Shanghai–Shenzhen 300 index from January 2020 to December 2021 were taken as samples, and the R vine Copula model was used to analyze the tail dependence relationship between China’s energy market and Shanghai–Shenzhen markets. The tail dependent risk relationship among China’s coal market, China’s electricity market, and Shanghai–Shenzhen markets was studied, and the relevant prevention suggestions were proposed. The empirical results show that there is a strong positive correlation between China’s electricity and Shanghai–Shenzhen 300 indexes and China’s coal index, and there is a strong down-tail correlation between power index and coal index. As the intermediate market, the indirect contagion structure of the coal index market and the Shanghai and Shenzhen markets still present a positive correlation, and the tail dependence relationship disappears. Therefore, in the supervision and prevention of risks in the three markets mentioned above, it is important to be wary of the strong chain reaction caused by the drastic changes in coal market price and investors should pay more attention to the negative impact on the sharp decline of price indexes of coal market, power market and Shanghai–Shenzhen market.