Exchange rate is an important macroeconomic variable that economic planners, policymakers as well as governments all over the world monitor very closely. This may be because volatility in exchange rate is capable of putting an entire nation in an acute state of disequilibrium. In Nigeria, economists and other stakeholders have continued to make relevant efforts to restore normalcy/stability to the nation’s exchange rate that has been subjected to severe rate of volatility in recent years. The Nigerian industrial sector remains a potentially viable alternative amidst the incessant widespread calls for diversification of the Nigerian economy. As such, it is not against conventional wisdom to say that since industrialisation may involve importation (of raw materials), exportation (of finished goods) or both; one may not be wrong to expect a link with exchange rate. Therefore, this study investigated the relationship between exchange rate volatility and industrial sector performance in Nigeria using quarterly time series data spanning from 1980Q1 to 2016Q4. The researchers relied on the use of OLS multiple regression technique for analysis while exchange rate volatility was generated using Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH). The result showed that exchange rate volatility is inversely related to industrial sector performance (using industrial sector contribution to GDP as a proxy) in Nigeria. Furthermore, trade openness was observed to have a negative sign (though statistically insignificant) while exchange rate and interest were also found to be strong and significant positive drivers of industrial sector performance in Nigeria. Following the findings, the Nigeria government and other stakeholders are advised to hasten efforts to arrest the perennial fluctuations in exchange rate in the country in order to stimulate expansion of productivity in industrial sector.