The performance of the capital market has been affected by the instability of the macroeconomic environment in Nigeria over the years. Theories of market performance in nexus to macroeconomic variability demanded this construct to broaden the arbitrage pricing theory (APT). Hence, this becomes necessary for the formulation of a kidney model/construct for the interface of the capital market and the macroeconomic environment in Nigeria. The study applied the APT in the construct to further explain the negative and positive flowchart between the stock market and the macroeconomic environment. The study employed the all-share index and market capitalization to represent the anatomy of the capital market, while money supply, inflation, interest rate, and gross domestic product represented the macroeconomic environment between 1985 and 2020 from the Central Bank of Nigeria Statistical Bulletin. The study adopted a descriptive survey design. The statistical tool for this study was the Z-test. The findings of the analysis showed money supply and gross domestic product, while inflation, and interest rates were negative and significant variables that influenced the capital market anatomy in Nigeria. The management of inflation rate, interest rate, and to increase the output of goods and services were recommended.