This study examines the impact of monetary policy on stock market performance in Nigeria over the period from 1985 to 2023. The Autoregressive Distributed Lag (ARDL) model was employed to analyze both the long-run and short-run relationships between the variables. Considering global economic shocks, the Structural Adjustment Program (SAP) period (1986–1999), and the COVID-19 pandemic, the study focused on key monetary policy variables such as interest rate, money supply (M2), and exchange rate, and their influence on the Nigerian stock market. The analysis revealed that, in the long run, an increase in money supply and exchange rate depreciation positively influence the stock market. However, rising interest rates tend to discourage investment, leading to reduced participation and lower returns in the stock market. In the short run, the Error Correction Term (ECM) confirmed the presence of a self-correcting mechanism, indicating that the system returns to equilibrium following external shocks. The study also found that during the SAP years, the economy lacked stability, and inconsistent policies led to stock market volatility. In response to the COVID-19 pandemic, central banks implemented expansionary monetary policies, such as cutting interest rates and increasing money supply, which supported the capital market in the short term. The study recommends that policymakers adopt consistent, transparent, and well-designed monetary policies during periods of economic transition and global crises, such as the COVID-19 pandemic, to maintain stock market stability.