A random walk without drift (RW) is recognized as the most daunting benchmark in forecasting exchange rates. We conduct a comprehensive review of the pertinent literature and summarize the main variables, models, and evaluation methods of exchange rate forecasting. Many economic fundamentals may be superior to the RW model in-sample, but not as well as they do out-of-sample. Given the ability of crude oil fluctuations to provide forward-looking information on future economic fluctuations, a growing number of academics are concentrating on researching the connection between exchange rates and crude oil. Our focus lies in assessing the predictability of energy-related information, particularly crude oil, on exchange rates, and we provide empirical support based on latest data.