The manuscript aims to perform a study on the evolution of academic literature revolving around the linkages between sovereign credit risk and financial markets through a comprehensive bibliometric perspective. The dataset for the study has been extracted from the two relevant databases: ‘Web of Science’ and ‘Scopus’. The manuscript covers the quantitative analysis of textual data resulting in the publication growth, productive authors, core journals, top-cited authors, co-citation analysis, cartography analysis, trend topics and thematic maps. The article discussed three streams identified that include determinants, interactions, and pricing of sovereign credit risk and other financial markets that emerged from content analysis. The study provides us with future research directions that includes exploring the interactions of sovereign credit risk with crude oil and cryptocurrencies, particularly during a crisis that emerged from a developing nation. Further, the connectedness is to be examined for its system wide impacts to capture the indirect influence of a crisis. Another important research question revolves around investigating the role of qualitative variables such as ESG investing, green bonds, climate finance in explaining the sovereign credit risk.