The study examined credit and market risk disclosure on the performance of deposit money banks. The purpose of the study is to investigate whether credit and market risk disclosure affect return on capital employed of deposit money banks in Nigeria. The study employed expo facto research design and data were retrieved from reports of the companies from 2018-2022 financial years. The analytical technique used for this study was the panel regression method, ordinary least square and correlation. The research results indicated that non-performing loans and advances as a measure of credit risk exerted a negative relationship with performance of deposit money banks. The study further showed that market risk has a negative and significant relationship with performance of deposit money banks. It was recommended that deposit money banks should continue to implement risk management strategies to enhance their resilience to credit and market risk, and to constantly monitor borrowing and lending rates to ensure that cost of borrowing do not rise to the detriment of lending rate.