This study investigates the nexus between the Botswana stock index and five macroeconomic variables which include interest rates, exchange rates, Gross Domestic product, and Money Supply and inflation rates. The Botswana stock market and the Bank of Botswana provided the statistical data for this study. This study set out to determine whether there were any correlations between macroeconomic factors and the behaviour of stock prices in the financial market for long-term sources of funds traded on the Botswana Stock exchange (BSE). The paper examines the causal relationship between the stock prices and five macroeconomic variables, including the inflation rate, risk free interest rate, Gross Domestic Product, Money supply and exchange rates for Botswana, using monthly data from January 2013 to December 2015. This study used statistical analysis to create a regression equation and discovered negative links between three independent variables and the Botswana domestic stock index as well as positive relationships between historical and current domestic stock returns. The study initially took into account the Stationarity test and found that all of the variables at the second level at the 1%, 5%, and 10% level of test are stationary. This study's findings agreed with those of a number of other studies, which found that these three macroeconomic factors are linked to domestic stock indices and both had a negative impact on the benchmark stock index, or BSI. A unidirectional link between the domestic stock index and the inflation rate, exchange rate, and prime rate was demonstrated by the Augmented Dickey Fuller test (ADF). Another finding of this study was that the parameters utilised are significant when the p-values are smaller than the test statistics at 0.1. This study suggests that additional research be done over a longer time period, on average, twenty years, using a variety of other macroeconomic indicators. The macroeconomic variables that will be used should include this variable as well.