The study applied the NARDL model to examine the asymmetric impact oil price, and exchange rate on NSE consumer goods Index of the Nigerian Stock Exchange from 2009 to 2016. The standard ARDL model was also implemented to account of symmetric impact of oil price is not asymmetries. Evidence from the study shows that an increase in oil price reduces NSE Consumer goods index and similarly, a (an increase) depreciation in the exchange rate will also depress NSE Consumer goods stock index. The study concludes that macroeconomic shocks that affect consumer demand are transmitted into the stock market. The Nigeria Government should stabilize the fast depreciating Naira/dollar exchange rate in Nigeria and reduce reliance and exposure of the manufacturing sector on oil by providing stable and cheap electricity to reduce cost and increase profitability subsequently improve NSE consumer goods index of the Nigerian Stock Exchange Market.