This study examined the long-run impact of credit risk on financial performance of four biggest commercial banks in Zambia. Multiple linear regression analysis was employed using dataset covering a 21-year period from 2000 to 2020 extracted from the annual reports and financial statements of the selected commercial banks. Return on asset (ROA), and return on equity (ROE) were two financial performance indicators whereas non-performing loan ratio (NPLR), capital adequacy ratio (CAR), loan loss reserve ratio (LLRR), and loan impairment charges ratio (LCR) were four credit risk indicators for the selected commercial banks. Four hypotheses were proposed and empirically tested using Ordinary Least Square (OLS) regression model. The findings obtained from two financial performance models revealed that three credit risk indicators including NPLR, LLRR and LCR had negative and statistically significant impact on ROA and ROE of the selected commercial banks in Zambia. The results went further to reveal that credit risk indicator, CAR and control variables, bank size (BS) and Zambia’s real interest rate (RIR) had positive and statistically significant impact on ROA and ROE of selected commercial banks in Zambia.