The recent outbreak of the coronavirus pandemic has made a significant impact on the global financial markets. The aim of this paper is to assess the short-term reaction of the Visegrad countries’ financial markets to the COVID-19 pandemic. The Visegrad Group is a political alliance of four Central European countries, namely Czechia, Hungary, Poland, and Slovakia. The financial assessment is based on the EUR/CZK, EUR/HUF, and EUR/PLN exchange rates and the major blue-chip stock market indices, that is Prague PX, Budapest BUX, Warsaw WIG20, and Bratislava SAX. It is evident that the ongoing pandemic has changed the expectations of the financial market participants about the future value of exchange rates in the Visegrad countries. This study indicates that, as a consequence of COVID-19, higher probability has been attached to the large depreciation of the Czech koruna (CZK), the Hungarian forint (HUF), and the Polish zloty (PLN) than to their large appreciation. Moreover, based on the TGARCH model, the positive and significant correlation between the number of reported COVID-19 cases and the exchange rates has been confirmed, implying that the ongoing pandemic has resulted in the depreciation of the Visegrad currencies. Additionally, the result of the TGARCH model reveals that there is a significant and negative link between the Visegrad stock market indices and the COVID-19 spread.