This study investigates relationships between US equity sector returns and energy commodity— crude oil, natural gas, gasoline, and gas oil—prices over short-run and long-run investment horizons. We decompose 22 years of daily raw return series on sampled US sectors and energy commodities into short-run and long-run components using variational mode decomposition (VMD). We employ quantile regression to observe US sector return behaviours under differing market conditions. Our results identify important differences in these behaviours by energy commodity, timeframe, and market condition. This includes, on average, differences in the sign and magnitude of quantile regression coefficients on energy commodities by investment horizon. While remaining susceptible to energy market changes in the short run, US sectors are recipients of greater volatility spillovers over the long run. Our results suggest a greater potential to achieve diversification benefits in the short run, and greater homogeneity in the effect of energy commodity on US sector returns across all quantiles in the long run. Our results have implications for investors, portfolio managers, and policy makers.