Dynamic functional connectivity investigates how the interactions among brain regions vary over the course of an fMRI experiment. Such transitions between different individual connectivity states can be modulated by changes in underlying physiological mechanisms that drive functional network dynamics, e.g., changes in attention or cognitive effort. In this paper, we develop a multi-subject Bayesian framework where the estimation of dynamic functional networks is informed by time-varying exogenous physiological covariates that are simultaneously recorded in each subject during the fMRI experiment. More specifically, we consider a dynamic Gaussian graphical model approach where a non-homogeneous hidden Markov model is employed to classify the fMRI time series into latent neurological states. We assume the state-transition probabilities to vary over time and across subjects as a function of the underlying covariates, allowing for the estimation of recurrent connectivity patterns and the sharing of networks among the subjects. We further assume sparsity in the network structures via shrinkage priors, and achieve edge selection in the estimated graph structures by introducing a multi-comparison procedure for shrinkage-based inferences with Bayesian false discovery rate control. We evaluate the performances of our method vs alternative approaches on synthetic data. We apply our modeling framework on a resting-state experiment where fMRI data have been collected concurrently with pupillometry measurements, as a proxy of cognitive processing, and assess the heterogeneity of the effects of changes in pupil dilation on the subjects’ propensity to change connectivity states. The heterogeneity of state occupancy across subjects provides an understanding of the relationship between increased pupil dilation and transitions toward different cognitive states.