We use a quantile regression framework to investigate the impact of changes in crude oil prices, natural gas prices, coal prices, and electricity prices on the distribution of the CO2 emission allowance prices in the United States. We find that: (i) an increase in the crude oil price generates a substantial drop in the carbon prices when the latter is very high; (ii) changes in the natural gas prices have a negative effect on the carbon prices when they are very low but have a positive effect when they are quite high; (iii) the impact of the changes in the electricity prices on the carbon prices can be positive in the right tail of the distribution; and (iv) the coal prices exert a negative effect on the carbon prices. •We study the impact of energy prices on CO2 allowance prices in the United States.•Quantile regressions are used to conduct the empirical analysis.•Energy prices have generally different impacts on the CO2 prices.•These impacts also depend on whether CO2 prices are at the low or the high quantiles.•Policy implications are discussed.