This study uses a wavelet‐based framework to investigate the co‐movement nexus between COVID‐19 and insurance industry returns in emerging and developed markets. Analysis of the daily observations from 22 January 2020 to 14 September 2020 reveals that insurance returns responded strongly and negatively right after the onset of the global COVID‐19 outbreak but asymmetrically later. Additionally, the devastation brought to the insurance industry is comparatively more severe but short‐lived for emerging markets. The wavelet‐based Granger causality and correlation confirm the robustness of our results. Important implications for investors, industry managers, and policymakers are provided in light of the findings in the aftermath of COVID‐19.