The Finance and Investment Protocol encourages SADC members to pursue the crossmarket integration of their exchanges. As a result, in the 1990s SADC members collectively embarked on various initiatives to improve coordination and integration in the financial sector with a view to attract capital inflows and enhance domestic savings. This culminated in the establishment of the Committee of SADC Stock Exchanges (CoSSE) to drive the development of a harmonised, integrated and credible regional securities/capital market capable of mobilising capital to address the sustainability challenges of smaller national markets and alleviate inequalities. Recognising the benefits of developed capital markets and the limitations of individual country approaches, CoSSE embarked on a journey to create a regional capital market via interconnectivity to help channel much-needed capital to SADC countries. Notwithstanding various challenges, CoSSE has made some progress towards interconnectivity, albeit manually, through the finalisation of its updated interconnectivity project and the establishment of the SADC Brokers’ Network. This paper gives an overview of the current state of capital market integration in SADC, paying particular attention to CoSSE’s efforts at interconnectivity over the past decade. It begins by linking capital markets to sustainable development and thereafter provides the rationale for regional integration in capital markets in SADC. The last section takes a closer look at CoSSE and its road to interconnectivity over the past decade. Final recommendations are made for CoSSE to stimulate a greater appetite among national exchanges to work towards interconnectivity and integration by pursuing harmonisation of listing procedures; lobbying for political and regional support for its 2015/16 updated interconnectivity project; stepping up efforts to enhance cross-border trading in SADC; and enhancing the offerings of the SADC Brokers’ Network platform to provide information to brokers and gather data for a baseline study on cross-border trading.