In recent years, implicit debt of Chinese local governments has continued to accumulate. The 15th Five-Year Plan explicitly identifies the prevention and resolution of local government debt risks as a core task of fiscal security. Against the backdrop of highly interconnected regional economies, localized debt risks can readily spread across provinces through financial markets and government behavior channels, evolving into systemic threats. This paper uses the credit spread of municipal bond issued by local government financing vehicles (LGFVs) as a proxy for implicit debt risk. Based on daily data from 29 provincial administrative regions over 2015–2024, we introduce the Quantile Vector Autoregression (QVAR) model and network topology methods to systematically characterize the spatial spillover patterns and transmission pathways of interprovincial debt risk under different market states. We find that: interprovincial debt risk co-movement exhibits a significant U-shaped asymmetric structure, with co-movement under spread-widening stress states and spread-compression boom states both stronger than under normal conditions; net receivers are highly stable, with fiscally weak provinces such as Inner Mongolia, Gansu, and Qinghai consistently under pressure regardless of market state;while net transmitters undergo structural reorganization across different states, with the reverse contagion effect of weaker provinces emerging under spread-widening stress scenarios. Major shock events (COVID-19 pandemic, Evergrande default) can rapidly reshape the risk spillover network in the short term, with fiscally weak provinces quickly transitioning from a relatively independent state to become core nodes of systemic transmission. These findings provide empirical evidence for differentiated regional policy responses and the establishment of a cross-provincial coordinated prevention and control system.