Although the global crude oil market plays a significant role in pricing edible oils, the association between energy price uncertainty and the Malaysian palm oil industry remains understudied. Given that palm oil is widely used as a cheap feedstock for biodiesel, it is important to investigate whether risk transmits from the oil market to the Malaysian palm oil industry. Employing GARCH-jump models, this study extends the scant literature. The results reveal that the crude oil volatility index (OVX) significantly influences palm oil prices suggesting that an upturn in oil market volatility negatively impacts palm oil prices. Subsample analyses show that the negative impact of OVX intensified during the 2014 oil price decline and the COVID-19 outbreak. The effect of OVX is asymmetric, implying that changes (upward and downward shifts) in oil price variance exert a heterogeneous impact on the price levels of this edible oil. It is also observed that palm oil prices experience time-dependent jumps. We show that volatility significantly transfers from the crude oil to the palm oil market during periods of high uncertainty. Hence, investors and policymakers could use the information content of OVX for forecasting future trends in palm oil prices.