In this paper, we aim to explore the relationship between natural gas and crude oil prices for the U.S. economy over the time period 1997 and 2017 in both the unconditional and conditional framework by conditioning the relationship on natural gas production. The time period covers the recent shale gas supply boom. Our results indicate that during the shale gas revolution period of 2007–2013, oil and natural gas prices were procyclical and oil prices were leading natural gas prices. Once we control for the natural gas production we find that significant or high wavelet coherency is observed during 2000–2015 for 3–4 years scale. These results have implications for cross-market policy effects.