This study employs a quantile regression approach to examine the financialization of commodity futures. We confirm a strong degree of dependence in energy commodities from 2004 to 2013, with moderate effects in metals and lesser magnitudes in agriculture. Our findings show a strengthening in the financialization of energy commodities during the 2008–2009 global financial crisis, while there were weaker effects in agriculture and a decoupling or de-financialization in metal markets. The findings reveal the de-financialization of metals and agricultural markets from 2014 to 2017, after the 2013 closure of commodity trading units on Wall Street. Overall, our findings cast doubt on the diversification benefits of energy-dominated commodity indices after 2013. We argue the impact of financialization on commodity futures markets is more permanent than previously thought.