We investigate interconnectedness and the contagion effect of default risk in Asian sovereign credit default swap (CDS) markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the co-movements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade.