This study is an empirical analysis of the effect of variations in foreign exchange on the financial depth of Nigerian economy. Nigeria has seen about fifteen distinct foreign exchange variation incidences from 1962 to date with diverse effects on the economy of the nation in general and financial depth in particular. In line with the objectives of this study, secondary data were obtained from Central Bank of Nigeria Statistical Bulletin covering the period of 1985 to 2015. The ordinary least square multiple regression analytical method was used for the data analysis. Some statistical tools were employed to test the statistical significance of the variables. The analysis started with the test of stationarity of the Nigeria’s time series data. The empirical study found that the data were not stationary and then employed the Dicky Fuller (ADF) test statistic to make it stationary. Hence the OLS regression was applied to the data to determine the overall effect of variations in foreign exchange on the financial depth of the economy. The multiple regression results revealed that the variations in foreign exchange in Nigeria have not had the anticipated positive effect on the depth of the Nigerian financial sector. This implies that the Nigerian economy has been remarkably unsuccessful in experiencing constant exchange rate which is capable of attracting foreign investment. Hence, our findings suggest a stable exchange rate regime and an enhanced loan policy to maximize good economic performance. To reap the benefits of stable exchange rate, this study recommends that the Nigerian government should be conscious of over-dependence on oil and promote increased production in the non-oil sector of the economy by creating a level-playing field for private sector led activity.