This study seeks to examine the relationship between Foreign Direct Investment (FDI) and Real Effective Exchange Rate (REER) volatility in Nigeria. Using annual time series data from 1980 to 2016, the study adopted the Exponential GARCH model, Ordinary Least Squares (OLS) estimation technique and the Error Correction Mechanism. The major findings of the study reveal that there is a negative correlation between Nigeria’s past and future REER, which further implies that negative shock has less effects on exchange rate volatility when compared with a positive shock. It also found that exchange rate has a very significant effect on FDI in Nigeria while there also exists a long-run relationship between them. The study therefore advocates for a strong foreign exchange policies by the CBN to attract FDI. It also suggests that CBN should be keen on monitoring the financial news in the economy as it could heighten exchange rate and financial market volatilities; which may not be good for the economy’s overall growth and development in the long-run.