The determination of exchange rates remains a crucial issue for economists and policymakers. As a key price variable in an economy, an exchange rate acts as a nominal anchor for domestic prices and determines international competitiveness. Consequently, every country that participates in international trade needs to pay keen attention to its exchange rate. The Nigerian foreign exchange market has evolved over the years in line with changing macroeconomic fundamentals to ease foreign exchange demand pressures and stabilize the Naira exchange rate, which has failed to actualize its purpose. This debacle is a severe concern to the monetary authority in Nigeria. This study uses a monetary strategy to examine the determinants of Nigeria’s exchange rate for the period 1986 to 2019. We use Johansen’s maximum likelihood cointegration test and Error correction models to define long and short-term relationships. The results show that the monetary fundamentals i.e., relative money supply, relative income level, interest differential and expected long-run inflation explain the fluctuation in the value of Naira relative to USD in Nigeria in the long run. It also established a long-run equilibrium relationship between the exchange rate of Naira to USD and monetary fundamentals.