All over the world, banks have been undergoing crisis, but the Nigerian experience has been hazardous to the country’s financial sector stability. Against this scenery, this paper investigates some cost efficiency correlates of a set of fifteen deposit money banks in Nigeria over the period 2001-2008. Random effects Tobit regression was applied for estimating the correlates of cost efficiency obtained from Data Envelopment Analysis. The findings revealed net assets as a better index for measuring bank size-efficiency nexus other than total assets. Impacts of total assets, net assets, profitability, competition, indirect adoption of universal banking policy and non-listing of a bank on the stock exchange on bank’s cost efficiency were non-linear at 95% confidence interval. Credit risk was found to be the most significant variable that negatively influenced efficiency in the model at 5% level, followed by foreign bank ownership that showed a positive effect on efficiency. Consequently, prompt oversight functions of the regulatory bodies, increased foreign banks participation, especially those that can bring international “best practices” to bear and good corporate governance are fundamental if an efficient banking system is to be attained in Nigeria.