There have been fluctuations in the exchange rate of Naira to other world major currencies especially the US Dollar over time. The implication of this on agricultural exports is unknown. This study determined the effect of exchange rate returns volatility on Nigeria's agricultural export performance using annual data from 1980-2015 sourced from CBN and FAOSTAT. The ARCH-LM test was carried out to establish the presence ofheteroscedasticity in the exchange rate return series as revealed by the significant F-statistic and the nR2• The GARCH (1, 1) model was used to generate the exchange rate return volatiiity series which was subsequently incorporated into the ARDL model for determining factors affecting agricultural exports (cocoa and rubber). The Bound test revealed longrun relationship among variables. Results indicated that exchange rate return volatility did not significantly affect exports both in the short-run and the long-run. This may be partially attributed to the inelastic nature of agricultural commodities' supply particularly in the short run. It was also revealed that there is a positive and significant relationship between exchange rate, inflation, GDP, domestic prices, world prices and agricultural export. The study recommended among others that fiscal and monetary policies such as lower interest rate and import restriction on certain agricultural products should be adopted by the relevant authorities alongside other measures which may improve local production to meet both international and local demands, thereby, improving agricultural export and raising foreign exchange earnings which may translate to sustainable economic growth and lead the country out of recession.