Major oil producing countries in Africa are a mono-product economy, where their main export commodity is crude oil, changes in oil prices has implications on their economy and, in particular, exchange rate. The latter is mostly important due to the multiple dilemma of being an oil producing, oil exporting and oil-importing countries; a situation that emerged in the last decade. Hence, this study explored oil price volatility on foreign exchange of major oil producing countries in Africa; the study specifically examined the effect of oil price volatility, inflation, and money supply on foreign exchange of major oil producing countries in Africa. The ex-post facto research design was used in the study as time series data spanning from 1999 to 2020. Data obtained was estimated using the Non-Linear Autoregressive Distributed Lag (NARDL). Findings from the study suggested that NARDL long run and short run estimate discovered that that the effect of oil price volatility is adverse and precarious for foreign exchange of the two countries; inflation exerts a positive significant effect on the foreign exchange in the short run, but positively insignificant effect on the foreign exchange of the two countries in the long run; Nigeria, the effect of broad money supply on foreign exchange was negatively significant in the short run but negatively insignificant in the long run and in Angola, the effect of broad money supply on foreign exchange was positively significant in the short run but positively insignificant in the long run. Premised on these findings, the study concluded that oil price volatility exerts noticeable effect on foreign exchange of Nigeria and Angola. Hence, the study advocated that that resources should be channeled to the real sectors of the major oil producing countries in Africa; major oil producing countries in Africa should avoid those activities or introduction of policies that would lead to the reduction in the purchasing power of their currency and the license for the production of crude oil in the major oil producing countries in Africa should not be placed in fewer hands so as to encourage competition.