We investigate the interconnectedness and systemic risk of China's financial institutions by constructing dynamic tail-event driven networks (TENETs) at 1% risk level based on weekly returns of 24 publicly-listed financial institutions from 2008 to 2016. Total connectedness reaches a peak when the system exhibits stress, especially during the recent period from mid-2014 to end-2016. Large commercial banks and insurers usually exhibit systemic importance, but some small firms are systemically important due to their high level of incoming (outgoing) connectedness. Our results provide useful information to regulators when they assess systemic risk of financial institutions and formulate macroprudential supervision policy. •Dynamic TENETs for 24 Chinese financial institutions are built for measuring interconnectedness and systemic risk.•Total connectedness of the TENET reaches a record high during the recent period from mid-2014 to end-2016.•Dynamic indicators (e.g., SRR and SRE indices) provide an early-warning function for identifying systemic risk.•One potential reason for the high level of systemic risk is the increasing size of China's shadow banking system.•Some small firms are systemically important due to their high level of incoming or outgoing connectedness.