This study explores the macrofinancial interconnectedness within the Pacific Alliance (Chile, Colombia, Mexico, and Peru) by utilizing a Quantile Vector Autoregression (QVAR) approach to dissect the directional spillover effects between macroeconomic variables and MSCI stock indices. By employing autoencoder techniques for dimensionality reduction, the research decodes significant macroeconomic dimensions influencing stock market behaviours. The findings show patterns of spillover effects, highlighting the variable roles of these economies as transmitters and receivers of economic shocks, particularly after the Pacific Alliance agreement.