This article is devoted to the problem of the urgency and the possibility of using the EU experience in the development of the common financial market of the EAEU. The integration issue is considered in political, legal, and institutional aspects. The article has a general theoretical and legal character, therefore, the emphasis is placed on legal and doctrinal issues, special attention is paid to the analysis of the Treaty on the Eurasian Economic Union and its protocols, as well as identifying obstacles to the financial integration of the Union and ways to eliminate them. The article presents as an example for the EAEU markets mega-regulators in the EU financial markets and their impact on the eurozone economy during the COVID-19 period. The article proposes further steps required to consolidate financial integration and improve the future stability of the EAEU financial market.