This paper studies the impact of structural oil shocks namely, oil supply shocks, global aggregate demand shocks, precautionary demand shocks and shocks to other oil market specific factors on the financial stress index of major oil-exporting and importing economies. We compose an index to identify the effects of oil price shocks on financial stress for major oil-exporting and importing economies. We find that the responses of Financial Stress Index to structural oil shocks vary depending on whether economy is net oil exporter or, importer. Our results reveal that global demand shocks followed by speculative demand shocks have significant impacts on financial stress. We also note that the US subprime crisis has significant bearing on the response of Financial Stress Index to structural oil shocks. The effects of oil price shocks on financial stress have reduced during the post-crisis period.