The persistent exchange rate depreciation and its debilitating effects on rising inflation have re-mained a concern in Nigeria. The article explored the effects of exchange rate pass-through on producer prices, consumer prices, export prices, import prices and the Taylor rule from 2000 to 2023, using quarterly data and adopting threshold autoregression and self-exciting smooth threshold regression methods. The findings suggest that there are non-linearities in the way an exchange rate depreciation affects prices in Nigeria. Furthermore, the findings suggest a thresh-old of 5 percent depreciation. The two sub-sample analyses corroborate the main findings, showing that a threshold of 5 percent is the optimum benchmark if demand and supply are not to be weakened. At this level or below this level, the effects of exchange rate depreciation on infla-tion are much lower, even though prices will rise. However, above this benchmark, the effects of a depreciation on inflation are much larger, weakening consumer demand for imported and domestic goods and producer supply of exported and domestic goods and services in the economy. This result implies that an average exchange rate depreciation not higher than 5 percent within a quarter is reasonable if the Nigerian economy is to remain competitive both domestically and globally. Finally, the results suggested that the exchange rate pass-through to prices is con-siderably higher in Nigeria below the threshold, while it overshoots for producer prices, export prices and import prices above the threshold. To keep inflation in check, the paper suggests that the monetary authorities should try and keep exchange rate depreciation below the established thresholds, while the monetary authorities should consider adjusting the policy rate to take into account exchange rate depreciation thresholds to keep domestic prices stable.