There have been fluctuations in the exchange rate of Naira to other major world currencies especially the US Dollar over time. The implication of this on agricultural exports is unknown. This study determined the effect of exchange rate volatility on Nigeria’s agricultural export performance using annual data from 1980-2015. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH-1,1) model was used to generate the exchange rate volatility series which was subsequently incorporated into the Autoregressive Distributed Lag (ARDL) Model for determining factors affecting agricultural exports (cocoa and rubber). The Bounds Test revealed long-run relationship among variables. The results indicated that exchange rate 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 was a positive and significant relationship between exchange rate, inflation, GDP, domestic prices, world prices and agricultural export. The study recommended 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