The aim of this study is to examine the relationship between global energy uncertainty and the Turkish stock market within the framework of the BIST 100 and BIST INDUSTRIAL indices. Monthly data covering the period from January 1996 to November 2023 were used in the study. According to the findings obtained using the Quantile-on-Quantile Kernel-Based Regularized Least Squares (QQKRLS), Quantile-on-Quantile Granger Causality (QQGC), and Cross-Quantilogram (CQ) methods, global energy uncertainty has nonlinear and heterogeneous negative effects on both stock market indices. Moreover, these effects vary across quantiles. In particular, the impact of energy uncertainty on the BIST INDUSTRIAL index is found to be more pronounced compared to the BIST 100 index. This situation indicates that the industrial sector is more sensitive to energy uncertainty. The causality results also reveal the existence of statistically significant causality relationships between different quantiles of energy uncertainty and stock market returns. The CQ findings confirm the validity of the QQKRLS results in terms of direction, asymmetry, and nonlinearity.