The usually low geological background concentrations of Hg makes this trace element suitable for identifying accumulation pulses in sediments that can be tentatively related to weathering processes and thus to climatic changes. Intense volcanism has witnessed the Cretaceous–Paleogene transition (KTB) and was, perhaps, responsible for dramatic climatic changes and decrease in biodiversity and mass extinction. We have used Hg oncentrations as a proxy for volcanic activity and atmospheric Hg and CO2 buildup across the KTB at three localities. In the Salta Basin, Argentina, Hg contents display several spikes across the KTB, with a maximum value of 250 ng·g−1. In three drill cores across the KTB in the Paraíba Basin, northeastern Brazil, Hg contents increase from the late Maastrichtian to early Danian and Hg spikes predate the KTB, perhaps, as a record of volcanic activity before (but very close to) this transition. At Stevns Klint, Denmark, Hg contents reached almost 250 ng·g−1 within a 5 cm thick-clay layer, the Fiskeler Member (‘Fish Clay’) that comprises the KTB. Some co-variation between Hg and Al2O3 contents has been observed in all of the studied sections across the KTB, suggesting that Hg is probably adsorbed onto clays. Thermo-desorption experiments in selected samples from the Yacoraite Formation showed Hg+2 as the major species present, which is in agreement with a volcanic origin. Combined Hg and C-isotope chemostratigraphymay become a powerful tool for the eventual assessment of the role of volcanic activity during extreme climatic and biotic events, such as those during the KTB.