Capital flight is a challenge for many developing countries. The problem is more severe in a nation like Nigeria where domestic investment has been affected. On theoretical grounds, domestic investment should be a decreasing function of capital flight, but is there a possibility that reversals or downturns in capital flight in Nigeria might lead to a decline in investment levels? Put differently, is there a tendency for domestic investment to maintain a downward spiral, a ratchet effect, even in the face of lower levels or magnitude of capital flight? This study is a modest first attempt at investigating these possibilities. Employing the nonlinear autoregressive distributed lag model (NARDL), the study finds evidence of asymmetric impact of capital flight on investment undertaken at the national level. However, investment by subnational governments revealed the existence of symmetry, while overall, total public sector investments (by both States and Federal Governments) indicated the existence of asymmetric effects between positive and negative deviations of capital flight. The paper re-echoes the need for the strengthening of institutions at all levels to curb the menace.