Purpose- This paper aims to examine the existence of asymmetric relationship between the financial performance ( in terms of equity profitability) of Turkish banking system and macroeconomic performance of Turkish economy. The macroeconomic performance variable used in the research model is a weighted combination (scoring) of five different macroeconomic variables (per capita GDP, economic growth rate, inflation rate, budget balance and current account). Methodolgy- The structural breaks unit root test developed by Narayan and Popp (2010) and the asymmetric causality test developed by Hatemi-J (2012) are used in empirical analyses of the paper on the quarterly data consisting the period of 2001: Q1-2015: Q3. Findings- Findings of the study indicate that a positive shock in macroeconomic performance causes a positive shock in financial performance; while a negative shock does not cause a negative shock in financial performance. Conclusion- There exists an asymmetrical causality relationship between the financial performance of the Turkish banking sector and the macroeconomic performance of Turkish economy.