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This paper examines the impact of oil prices on the trade balance by incorporating wholesale prices and an industrial production proxy for economic activity as supporting variables for the BRICS countries. Quarter frequency data from 1992 to 2015 is used. Keeping in view the structural breaks and resulting asymmetries, long‐run and short‐run dynamic estimations are conducted using the nonlinear ARDL approach proposed by Shin, Yu, and Greenwood‐Nimmo. We find a positive and significant asymmetric relationship between oil prices and the trade balance in Brazil, India, China and South Africa. The asymmetries of wholesale prices also have a positive and significant effect on the trade balance in the cases of Russia, India and South Africa. The asymmetries of industrial production have a significant but negative impact on the trade balance for India and South Africa. These nonlinear and diverse relationships of oil prices, wholesale prices and economic activity with the trade balance are also confirmed by long‐run parameters for BRICS countries. This study opens some new insights for policy making. [ABSTRACT FROM AUTHOR]