The relationship between financial system and economic growth remains controversial among economist and policy makers. Bagehot (1873) and Hicks (1969) argues that Financial market was responsible for igniting the industrialization in the Great Britain through capital mobilization, while Schumpeter (1912) highlighted that a well performing bank provides an avenue for technological progress by providing entrepreneurs with the prerequisite for innovative production process. The paper focus on examining the relationship between financial market development and economic growth in Nigeria. The study uses a financial depth index that encompasses the domestic credit to the private sector as a share of GDP, the stock market capitalization as a share of GDP, while the private and public bond market capitalization as a share of GDP is not available in Nigerian case, as such is ignored. A Markov switching regression model with two regimes based on Hamilton specification is used in analyzing the variables. The macroeconomic variables that include FDI, Inflation and Openness to trade do not perform base on mainstream literature. The low performance of FDI is associated with lack of infrastructure, corruption, low level of ease of doing business, government bureaucracy, absence of enabling environment, and inadequate educated workforce that allows to exploit FDI spill-overs, while inflation can best be modelled using a nonlinear approach. Moreover, the country’s openness to trade are positively related with growth rate in all regimes, which signifies country’s readiness for trade with regards to import and export. The financial system development variables are significant in explaining the finance – growth nexus but the magnitudes are less, which shows a very limited level of providing liquidity in the equity markets in Nigeria. Some of the recommendations include proper diversification of the economy to reduce the heavy dependence on oil, massive investment in infrastructure and device way to tackle corruption; this will help the proper functioning of the macroeconomic variables. While the financial system needs to be standardized in terms of liquidity, and regulation.