This study examines the relationship between oil prices and exchange rate in Nigeria by viewing this relationship in another dimension which is the ability of exchange rate to move from one regime to the other. The period of investigation spanned the period 1980–2017. The regime switching characteristics of exchange rate were examined with the Markov Switching Model technique. The regime switching test suggests that there are two exchange rate regimes of managed float and fixed regimes. It was found that the probability of exchange rate to move from a managed float regime to a fixed regime was very low as compared to switching from fixed to managed float regimes. In fact, the expected duration of transitions is about 4 years for managed float but 9 years for fixed exchange rate regime. Both oil price and exchange rate move in opposite direction; despite the regime changes.