This study investigates the co-movement nexus between COVID-19 and insurance industry returns for emerging and developed markets using a wavelet-based framework. Analysis on the daily observations from 22nd January 2020 to 14th September 2020 reveals that insurance returns (INS) responded strongly and negatively, right after the onset of the global COVID-19 outbreak, but asymmetrically later. Additionally, the devastation brought to INS is comparatively more severe but short-lived for emerging markets. The wavelet-based Granger causality and correlation confirm the robustness of our results. These findings are important for policymakers and investors in the insurance industry in the aftermath of COVID-19.