The aim of this study is to conduct a comprehensive and in-depth analysis of the regime dependence between the oil market and financial markets (including gold prices and stock market returns) with an emphasis on the key role of uncertainty arising from high and low oil price fluctuations. This research is conducted using monthly statistical data from 1380 to 1403 and the advanced approach of smooth transition vector autoregression is used to model the dynamic behavior of variables in different economic regimes. The results of this study show that oil prices, as a key transition variable, exert different effects on financial markets in high and low volatility regimes, which highlights the importance of examining the regime-based approach in financial analysis. The model estimation results for stock market returns indicate that macroeconomic variables such as GDP, exchange rate, oil price, liquidity and inflation rate have positive and statistically significant effects (at the 5% error level) on the stock market, while gold price shows a negative and significant effect. These effects are significantly stronger in the nonlinear part, which is consistent with the reduction of the variance of the variables in this regime and reflects economic stability. These findings indicate a greater sensitivity of the stock market to macroeconomic factors in stable conditions, which can be useful for predicting and managing investment risk. In the case of gold price, the model confirms that macroeconomic variables such as GDP, exchange rate, oil price, liquidity and inflation rate have positive and significant effects, while capital market returns exert a negative and significant effect on gold price. These effects are also more prominent in the nonlinear part and are consistent with the lower variance in this regime, indicating the role of gold as a safe haven asset in stable conditions.