This paper examined the effect of pension industry investment on financial intermediation in Nigeria. The study used Ex-post facto research design. Its specific objectives were to examine the effect of Pension fund investment in Federal government bonds, Pension fund investment in State government bonds and Pension fund investment in Private sector bonds on financial intermediation in Nigeria. Ordinary Least Square regression was used as analysis technique. It was found that Pension fund investment in Federal government bonds has positive and no significant effect on financial intermediation in Nigeria; Pension fund investment in State government bonds has negative and no significant effect on financial intermediation in Nigeria; and Pension fund investment in Private sector bonds has positive and no significant effect on financial intermediation in Nigeria. This implies that a unit change in pension fund investment do not lead to significant increase in financial intermediation. Based on the findings of the study it was concluded that pension industry investments have insignificant effect on depth and liquidity of financial intermediation in Nigeria. It was recommended that the pension industry should spread its investments beyond financial instruments in order to widen its investments portfolio and aid a larger sphere of the economy with its intermediation.