The study examines the impact of foreign private investment on the Nigerian capital market using time series data from 1986 to 2014. ADF Unit root test, Johansen co integration test and error correction mechanism are used for the purpose of analyses. Capital market development is proxied by market capitalisation while foreign private investment is proxied by foreign direct and portfolio investments. Result of ADF test shows the data are stationary at first difference and that there is a long run co-integration among market capitalisation, foreign direct and portfolio investments. ECM results show that, both types of private investment have positive impact on market capitalisation but only the foreign direct investment is significant(0.0015< 0.05) in determining market capitalisation. The study concludes that foreign private investment has positive and significant impact on the development of capital market. Based on the findings of the study, effort should be made to encourage continuous inflow of both forms of investment in Nigeria.