This study examined the effect of systemic risk on the stock market return in Nigeria. Time series data were sourced from Central Bank of Nigeria statistical Bulletin from 1990-2021. Stock market return was modeled as the function of exchange rate risk, commodity price risk, equity price risk and interest rate risk. Multiple regressions were formulated to examine the effect of systemic risk on stock market return. Ordinary least square methods were adopted as data analysis methods. R-square, adjusted R-square, T-statistic, regression coefficient, f-statistic and Durbin Watson were used to examine the effect of systemic risk on stock return. The study found that systemic risk explained 62.8 percent variation in stock market return over the time covered in this study. The study found that exchange rate risk has negative and no significant effect, commodity price risk have positive and significant effect, interest rate have positive and no significant effect while equity price risk have positive and significant effect on stock market return. From the regression summary, the study concludes that systemic risk has significant effect on stock market return in Nigeria. The study recommends that systemic risk management should be considered as part of strategic plans which need to be reviewed on a more frequent basis and macroeconomics policies should directed towards stabilizing Nigerian exchange rate to avoid depreciating naira exchange rate against key currencies that exposes the firms to exchange rate risk.