Globalization and liberalization have spurred active investor participation in foreign markets, accelerating financial integration and increasing stock market co-movements globally. Analyzing inter-market connections is vital for shaping sound macroeconomic policies and developing effective investment strategies. The current study conducts an in-depth correlation analysis of calculated returns from India’s S&P BSE SENSEX and six major European stock indices—UK (FTSE 100), Germany (DAX PERFORMANCE-INDEX), France (CAC 40), Netherlands (EURONEXT 100), Belgium (BEL 20), and Italy (FTSE MIB)—across two intervals: an extended 16-year period from June 3, 2003, to December 30, 2019, and the post-2008-09 global crisis phase from April 20, 2009, to December 30, 2019. Considering calculated returns from daily adjusted index closing values, the analysis incorporates descriptive statistics and correlation measures to evaluate market integration. The diagnostic normality test guided the adoption of the non-parametric Spearman Rank Correlation method. The results reveal persistently weak correlations between the S&P BSE SENSEX (India) and each of the six European indices over both periods, indicating low financial integration and underscoring opportunities for portfolio diversification in these markets. Conversely, the analysis identifies high interconnectivity among the European indices, demonstrating a substantial degree of regional market integration, which constrains diversification potential within Europe.