Based on the analysis of large overlapping discrete wavelet transform, this paper constructed the TVP-VAR time-varying volatility risk spillover index to study the time-varying risk linkage effect between economic policy uncertainty and wheat and corn futures markets in China. The results showed that the risk linkage between the economic policy uncertainty and the futures market prices of wheat and corn in China was strong, and the spillover effect showed asymmetric, time-varying and heterogeneous characteristics. Periodic characteristics exhibited in the medium and long term. Secondly, economic policy uncertainty mainly acted as the issuer of risk spillover, while wheat and corn futures prices play the role of receivers. The spillover effect on wheat futures prices is larger than that on corn futures prices. Finally, during uncertain events such as the financial crisis, “cash crunch” and the Russia-Ukraine conflict, the medium and long-term spillover component dominated, while the short-term spillover components have become increasingly prominent drivers after the stock market crash crisis.