We analyze real returns on U.S. and U.K. government debt during major wars and the COVID-19 pandemic over the past three centuries. Wars are associated with sharply negative real returns on outstanding government debt, with returns falling far below economic growth, in contrast to peacetime periods when returns exceed growth. Elevated surprise inflation and financial repression account for a cumulative 30% wedge between returns and growth over four years of war, implying that bondholders bear a substantial share of wartime fiscal costs. During wartime, government bonds also systematically underperform risky assets. […]