Macroeconomic stability is an objective emerging economy desired to achieve but oil price shocks and fluctuations in nominal exchange rates tend to restrain the ability of these economies to achieve such macroeconomic balance. Regrettably, exchange rates and oil price shocks are prone to have structural breaks in defined periods. We therefore, implemented a bivariate diagonal BEKK model, Zivot-Andrews and Bai-Perron breakpoint tests to evaluate the effect of exchange rates and oil price shocks in the presence of structural breaks on macroeconomic stability in developing countries. Break dates were observed for Benin Republic and Côte d’Ivoire between 1997M01 and 1996M09, Gambia in 2003M12, Niger in 2011M04, Ghana in 2000 and 2008, and Nigeria in 2020. All break dates were attributed to various causes including COVID-19 pandemic, the United States (US) invasion of Iraq in 2003, the US recession, and the Persian Gulf crisis. The findings showed variations in oil prices and exchange rates have a hostile impact on the level of the consumer price index (CPI) after controlling for structural breaks for all countries excluding Burkina Faso. Hence, shocks conveyed significant instability in the domestic price levels of Gambia, Benin, Niger, Ghana, and Nigeria. Models of inflation should be examined after controlling for external crises and structural breaks.