This study examines empirical determinants of inflation dynamics in Nigeria between 1995 and 2018 fiscal years. It employed monthly data that were sourced from the Central bank of Nigerian Statistical Bulletin, 2018 edition. Several studies have examined inflation determinants in Nigeria for several periods, but the empirical findings of some of these studies are mixed in terms of the different forms of inflation. Headline inflation, which is the most, reported inflation in Newspapers often includes all forms of commodities prices, hence it tends to be overblown. Thus, the volatile commodity prices such s energy which are more volatile need to be separated. Thus, this study accounted for headline, core, and food inflation Nigeria for this period. After testing for the time series properties of the variables, the study found that they were fractionally integrated [order zero (I (0) and I (1)]. Therefore an Autoregressive Distributed lag model (ARDL) specification of Pesaran and Shin (2011) was utilized for the analysis. The study found that exchange rate and real GDP were consistent determinants of all three forms of inflation. For the short run estimated results across the entire three models, money supply was noted to be a significant determinant of inflation rates. The study, therefore, recommends that since Nigeria is an import-dependent country in consumer goods and technology, instability in exchange rate will lead to further depreciation of naira which will fuel inflation and that a stable exchange rate policy to reduce inflation, concerted efforts to be directed toward output stabilization through minimizing government expenditure and investment in productive sectors are necessary.