This paper examined the impact of capital structure on stock returns of deposit money banks in Nigeria from 2010Q1 to 2021Q4. The study utilized secondary data sourced from their audited financial statement and the Central Bank of Nigeria (CBN) Statistical Bulletin. Firm size was used as index of stock returns, measured using natural logarithm of total asset and the impact of liquidity, leverage and profitability (measured using return on asset) examined on it.