Abstract: Since, the early days of independence Nigeria’s fiscal operation and current account position has been characterised by deficits and imbalances. The twin deficits’ hypothesis asserts that an increase in budget deficit will cause similar increase in the current account deficit. However, the findings of many studies are not in line with this assertion. It is even surprising that using the same country data produce different result. This study investigates the relationship between budget deficit and current account balance in Nigeria from 1960-2008. Ordinary least square was first explored to determine the effect of budget deficit on current account balance in Nigeria. Various diagnostic tests preceded cointegration analysis. In order to capture the short-run disequilibrium situation among the variables, namely current account balance, budget balance, investment and private savings, an error correction model was estimated as a follow up to cointegration analysis. Estimation of long-run elasticities was done from the computed autoregressive distributed lag. Thereafter Granger causality test was conducted to determine the causal relationship among the variables. Ordinary least square result show that a unit increases in budget deficit will cause 0.71 unit increase in current account balance. Bound cointegration test established a long run relationship among the variables. Evidence from the error correction model shows that 1% change in budget deficit will cause 0.67% change in current account balance. The empirical findings of this research work indicate that there is a bi-directional relationship between budget deficit and current account balance as revealed by the Granger causality test. The findings support the twin deficits hypothesis. It has also been empirically supported by Ahmadu for Malaysia and Philippines, Evan for Cambodia, Tahir and Mahbiibz for Pakistan.