Under China’s shift to high-quality financial development, this study explores the tail dependence among media sentiment, investor attention, and stock market returns via the M-Clayton Copula model. Comparative fitting tests show it outperforms single and M-Copula models in depicting asymmetric negative dependence, especially capturing both upper-lower and lower-upper tail dependencies for a more comprehensive analysis. Empirically, three key findings emerge. First, there is significant positive tail dependence between media sentiment and stock market returns, indicating synchronized movements with notable asymmetry. Second, media sentiment and investor attention show negative tail dependence, with the lower-upper tail dependence coefficient being higher, suggesting a higher probability of rising investor attention following media sentiment decline. Third, a pronounced negative tail dependence exists between stock market returns and investor attention, especially strong lower-upper tail correlation, implying a high likelihood of increased investor attention after market downturns.