We attempt to predict the exchange rate returns of the BRICS (Brazil, Russia, India, China, and South Africa) countries with the global oil price using monthly datasets covering the period of 1973 to 2020. We formulate a predictive model that accounts for the salient features of the predictor and the predicted series in line with the recent literature. We establish that oil price is a good predictor of exchange rate returns for both net oil exporters (Brazil and Russia) and net oil-importers (South Africa and China). The consideration of asymmetries improves the predictability of an oil-based model for exchange rate movements and ignoring the same may lead to wrong conclusions. Finally, all the variants of the oil-based model outperform the benchmark model albeit with higher out-of-sample forecast gains with a nonlinear (asymmetric) model.