This study examines the time series properties of co-integration and causal relationship between oil (non-agricultural) and non-oil (agricultural) import and export in Africa’s largest economy. We employed Granger causality and Johansen and Juselius’s co-integration methods to investigate causal relationships among the variables Naira-US dollars exchange rate (USD), Naira-Pounds exchange rates (GBP), Oil Import (OI), Non-Oil import (NO), Oil Export (OE) and Non-Oil export (NE). We found empirical evidence for co-integration between oil and non-oil import. Our result reveals the existence of long run equilibrium between exchange rates, oil import and export, and non-oil import (agriculture) and export. Non-oil import and export involves those of agricultural products like Cocoa, Timber, Cassava and Groundnut. We show that there is bidirectional Granger causality from import and export of both agricultural (non-oil) and non-agricultural (oil) goods and vice-versa. This empirical relationship followed closely to what economic theory have suggested. The study recommends amongst others, that government should adopt appropriate monetary and fiscal policies that will ensure realistic and stable exchange rates and foster economic growth through import and export of agricultural products.