With a sample of monthly data from January 2000 to July 2021, this paper investigates the risk connectedness relationship between different kinds of China's EPU and global oil prices in both time and frequency domains. To achieve that, a research framework mainly consists of wavelet transform method and spillover index approach is established. The results show that EPU of China receives the risk spillover from global oil prices in most cases. Moreover, we find fiscal policy uncertainty and trade policy uncertainty are generally the recipients of risk spillover on most time scales, except that monetary policy uncertainty primarily serves as the risk transmitter. Lastly, the risk role of exchange rate policy uncertainty in China has the most frequent change among four kinds of EPU. This paper provides valuable policy implications for policymakers, investors and risk managers in the energy market.