Based on the daily high-frequency data of the Eurozone and 17 emerging economies from August 2006 to January 2020, this paper empirically examines the impact of Eurozone monetary policy on EMEs in a negative interest rate environment on the basis of identifying the unconventional monetary policy of the ECB. The spillover effects of the economy is compared with that in a positive interest rate environment. It turns out that after the introduction of negative interest rates, the ECB’s monetary policy has had a wide range of spillover effects on EMEs. Specifically, the reduction of target interest rates and the implementation of quantitative easing policy will significantly promote the stock prices of EMEs, cause a greater appreciation of the currencies of EMEs compared with the positive interest rate environment, and lead to the narrowing of the short-term and long-term interest rate spreads of EMEs. Further research shows that the divergence of monetary policy stance between the ECB and the Federal Reserve may be an important factor leading to the enhancement of monetary policy spillover effects in the euro area under the negative interest rate environment. The research conclusion of this paper provides useful enlightenment for the prevention of cross-border financial risks in the era of negative interest rate.