The paper sought to test the impact of exchange rate on some macroeconomic variables of the Nigerian economy. It provided the empirical estimates of the economic relationship between exchange rate, real GDP, foreign direct investment and inflation in Nigeria. The unit root test for stationarity was carried out on each of the data series using the Augmented Dickey Fuller. Results reveal that all the series were stationary at order one I(0). Hence, regression analyses using the OLS were performed. The results of the estimation demonstrated that there is positive and statistically significant relationship between exchange rate and RGDP. There is also positive and statistically significant relationship between exchange rate and foreign direct investment; there is negative and statistically significant relationship between exchange rate and inflation. Consequently, these results provide confirmation that there is evidence of a strong relationship between exchange rate and RGDP, exchange rate and foreign direct investment; and exchange rate and inflation. The study therefore recommends that, improvements in exchange rate management are necessary to revive the Nigerian economy