The purpose of the article was to provide insight into examining how changes in the price of oil affect the returns of cryptocurrencies. On the other hand, the daily returns of major cryptocurrencies by market cap form the dataset examined in this article. Bitcoin, Ethereum, Ripple, and Litecoin are the selected cryptocurrencies. The prices of crude oil, Brent crude oil, and gas, in turn, reflect the independent variable of oil price. The information, which relates to the leading cryptocurrencies by market cap as of January 2023, was taken from Yahoo Finance market cap. The variables under study must be combined in the same order in order to conduct cointegration tests. Cointegration and the ARDL approach used in this study are performed through bounds testing. The results show that all dependent variables—Bitcoin, Ethereum, Ripple, and Litecoin—are positively and significantly affected by the price of crude oil, but the price of Brent crude oil has a positive and significant effect on Bitcoin, Ethereum, and Ripple but not on Litecoin. Finally, all dependent variables are not significantly affected by the price of natural gas.