The paper examined budget deficit and private domestic investment in Nigeria from 1981 to 2019. The objectives of the study include to; determine the impact of budget deficit on private domestic investment in Nigeria; determine the impact of interest rate on private domestic investment in Nigeria; and examine the impact of exchange rate on private domestic investment in Nigeria from 1981 to 2019. Secondary data on variables such as private domestic investment, budget deficit, interest rate and exchange rate were collected from CBN statistical bulletin. The econometrics techniques of Augmented Dickey-Fuller unit root test and Autoregressive Distributed Lag (ARDL) model was used to analyze the data. The unit root result showed that some of the variables were integrated of order one and some at order zero. The ARDL Bounds test for co-integration revealed the existence of a long run relationship amongst the variables. The short-run result showed that; budget deficit is negatively related with private domestic investment but not significant. Also, interest rate is negatively related with private domestic investment. But exchange rate has positive and insignificant relationship with private domestic investment in Nigeria during the period of study. Based on the findings, the study recommended amongst others that: government should spend more of her budget in favour of productive sector that have direct impact on the economy. Also, government through the monetary authority should compel the deposit money banks in Nigeria to reduce interest rate to a single digit. This to a large extent will increase production in the domestic sector of the economy. Monetary authorities through the CBN should adopt a floating exchange rate system to redress the problem of nominal exchange rate variation in Nigeria