This paper examines the relationship and volatility spillovers among major financial markets (stock, bond, foreign exchange, money, commodity and real estate) in the United Kingdom. Using the recently developed approach of forecast-error variance decomposition framework of VAR model, proposed by Diebold and Yilmaz (2012, 2014). We provide an empirical analysis of both the total and net volatility spillovers across the financial markets from January 1991 through March 2016. Furthermore, the important linkages among these markets have been taken into account by considering both the average and time-varying connectedness of each individual market. Empirical results suggest that the integration of financial markets has generally increased, especially during the global financial crisis periods and other financial turbulences periods. In addition, stock, real estate and foreign exchange markets are the main sources of volatilities spillovers whereas bond and money markets are the key receivers of volatility spillovers. These results are of great importance to the investors, financial institutions, policymakers and regulators in the finance industry.