This study investigates the dynamic relationship between exchange rate fluctuations, inflation, and unemployment in Nigeria from 1986 to 2022. The study used annual data obtained from the Central Bank of Nigeria data bank and the World Bank Development Indicator. The analysis employed Non-Linear ARDL models and Structural Vector Auto-Regression (SVAR) techniques with E-views version 10. Comprehensive diagnostic tests confirmed the adequacy of the chosen model. The estimations from both SVAR and ARDL reveal significant effects of exchange rate fluctuations on unemployment in Nigeria. Furthermore, our results demonstrate that inflation exerts a substantial influence on unemployment in Nigeria, both in the short-run and long-run. Additionally, the SVAR framework highlights a significant impact of exchange rate movements on inflation in Nigeria. The findings collectively support the applicability of the Phillips Curve hypothesis in the Nigerian context. The findings have implications for the timing of current account adjustments and the choice of exchange rate policies. It proposes the development of a threshold model by the CBN that captures not only the direction but also the magnitude of changes in the real exchange rate. Therefore, the policymakers, including the Central Bank of Nigeria, should tailor monetary policies to address rising unemployment rates stemming from real exchange rate fluctuations. Furthermore, policymakers should expedite structural reforms aimed at economic diversification.