This study investigated the effect of selected macroeconomic variables on market capitalization in Nigeria. The study adopted Nigerian stock market capitalization as the dependent variable, while macroeconomic variables such as gross domestic product, interest rate, inflation and exchange rate were used as the independent variables. Time series secondary data on the study variables were obtained for evaluation from the Central Bank of Nigeria Statistical Bulletin and the Nigerian Stock Exchange fact book for the period 2001 to 2018. The study employed descriptive statistics and multiple regression analysis based on E-views 10 computer software as the techniques for analysis. The results showed that gross domestic product has significant positive effect on market capitalization; exchange rate has significant negative effect on market capitalization; while interest rate and inflation have insignificant negative association with market capitalization in Nigeria. The study concluded that increasing national output in the economy of Nigeria would ultimately lead to an increase in market capitalization, which is good for developing economy like Nigeria, as it is likely to enhance economic growth and foster rapid development. Based on the findings, the study recommended that the regulatory authorities should formulate policies that would increase national output as it was established that gross domestic product has positive impact on market capitalization. Also, Government should put in place monetary and fiscal policies that would bring about stability in interest, inflation and exchange rates.