The objective of this paper is to investigate the relationships between some selected macroeconomic variables and stock market returns in Nigeria. Time series data on macroeconomic variables were collected from Central Bank of Nigeria (CBN) annual statistical bulletin 2018 covering between years 1981 to 2018. The error correction model (ECM) was used to show the strength of relationship between the macroeconomic variables and stock market performance. The result of the coefficients of macroeconomic variables are negative and positive values and also significant and insignificant. Hence, there is disequilibrium in the long run and must be corrected. The coefficient of parameters estimates for short run for return and gross domestic product at lag 1 are positive while values of crude oil prices, interest rate and inflation rate at lag 1 are negative. Hence, there is short run dynamic changes in crude oil prices, interest rate and inflation rate could lead to negative changes in stock market performance. The ECM coefficient is -0.80 suggesting that any disequilibrium can be corrected at the speed or rate of 80 percent within a year. In view of this, there is long run dynamic influence running from macroeconomic variables to stock market performance in Nigeria.