The complex and uneven nature of climate change’s impact on agriculture highlights the need for a nuanced understanding of the issue to develop effective strategies for mitigating risks and ensuring sustainable agricultural production in the face of a changing climate. This study examines the asymmetric effects of climate change on Nigeria’s crop yields. Annual time series data of corn, millet, rice, sorghum, and wheat crop yields and climatic factors (Carbon dioxide (CO2) emissions, precipitation, and temperature) from 1981 to 2021. Employing the Nonlinear Autoregressive Distributed Lag (NARDL) bound testing approach, the findings confirm changes in precipitation have asymmetric effects on maize yields in both the long-run and short-run. The evidence also supports a short-run asymmetry with adverse and positive effects of precipitation and temperature, respectively, on millet yields. While increased CO2 emissions have an asymmetric positive impact on rice, temperature has both increasing and adverse effects on rice in the short run. However, no evidence is found on the impact of the appreciation of precipitation on wheat yields in the long run. However, in the short run, a 1% increase in precipitation is associated with a 0.6717% decrease in wheat yields, while a decrease in precipitation by 1% is associated with a 1.3445% increase. A decrease in temperature by 1% leads to a 7.8855% decrease in wheat yields. Similarly, the appreciation of CO2 emission affects the sorghum in the long run, suggesting that a 1% increase in CO2 emission results in a 0.3236% increase in the sorghum. The study recommends mitigating the impacts of climate change and adapting to the changing conditions, essentially focusing on adaptive strategies to mitigate potential negative impacts, which include developing climate resilient crop varieties and implementing water management techniques. In the immediate term, strategies include managing water resources, adjusting planting dates, and using drought-tolerant varieties. Long-run strategies involve diversifying crops, investing in climate-resilient Infrastructure, and supporting research on climate-smart agricultural practices.