<p>Capital flight remains a topical issue as it presents developmental challenges to developing economies facing insufficient investible capital. The study observed an empirical lack in threshold adjustment rate of convergence in capital flight literature and how response variable reacts to predictors at various quantiles. Hence, this study investigates the asymmetric cointegration between capital flight and domestic investment in Nigeria between 1981 and 2021 using the threshold autoregressive quantile regression model. Empirical results from four distinct models validate the supposition that domestic investment is a reversal function of capital flight. The quantile regression results suggest that there exists a high sensitivity of domestic investment and a degree of convergence to percentile change in predictors. More importantly, the threshold adjustment favours a positive threshold and indicates an elevated degree of convergence to equilibrium. Furthermore, an increase in capital flight above the threshold value will severely hurt domestic investment. The study recommends that the quality of institutional and legal frameworks be put in place to fight corruption and curb capital flight as well as provide a business-friendly environment to boost domestic investment in Nigeria.</p>