In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela. Using daily spreads from 2008 to 2015 through a Time Varying Transition Probabilities Markov Switching model, our results show that crude oil price and its volatility are critical determinants of their sovereign debt. We highlight some differences between the two countries, depending on the state of the economy. Moreover, global and local factors play a major role in the determination of sovereign CDS spreads.