The aim of the study is to identify the interrelations and interdependencies of systemic risk formation in the banking sector under the influence of the COVID-19 pandemic. The analysis of theoretical sources resulted in the main hypotheses of this study: (H1) The number of COVID-19 cases contributes to the formation of systemic risk in the banking sector through an increase in household debt; (H2) the number of COVID-19 cases contributes to the formation of systemic risk in the banking sector through an increase in overdue loans; (H3) the number of COVID-19 cases contributes to the formation of systemic risk in the banking sector through changes in the liquidity of the capital of banking institutions; (H4) the number of fatal COVID-19 cases contributes to the formation of systemic risk in the banking sector, through an increase in household debt; (H5) the number of fatal COVID-19 cases does not have a significant impact on the formation of systemic risk in the banking sector through an increase in overdue loans; (H6) the number of fatal COVID-19 cases does not have a significant impact on the formation of systemic risk in the banking sector through changes in the liquidity of the capital of banking institutions; (H7) the COVID-19 pandemic has a significant impact on the formation of systemic risk in the banking sector with an increase in the number of cases. The research methodology was based on a quantitative approach. The methodological basis of the study was the time-series model, analyzed using a complex of econometric and economic-statistical methods. The proposed methodological approach was tested on the example of China. As a result of the conducted research, polynomial mathematical models of the selected indicators were developed, and sustainable relations and correlations between individual indicators of the systemic risk formation in the banking sector and indicators of the COVID-19 pandemic were revealed, on the basis of which Hypotheses H1, H4, H6, and H7 were proved and Hypotheses H2 and H5 were refuted. At the same time, the H3 hypothesis was proved with a remark about the need for an individual approach since the negative effect manifests itself primarily in the medium and long term. The results of the study can be used by bank managers to implement measures that prevent the formation of systemic risk. In addition, the results of this study may be of interest to subsequent studies, including in terms of forming promising directions for future research.