In this article, we use the recently developed nonlinear autoregressive distributed lags (NARDL) model to examine the pass-through of crude oil prices into gasoline and natural gas prices. Our approach allows us to simultaneously test the short- and long-run nonlinearities through positive and negative partial sum decompositions of the predetermined explanatory variables. It also offers the possibility to quantify the respective responses of gasoline and natural gas prices to positive and negative oil price shocks from the asymmetric dynamic multipliers. The obtained results indicate that oil prices affect gasoline prices and natural gas prices in an asymmetric and nonlinear manner, but the price transmission mechanism is not the same. Important policy implications can be learned from the empirical findings. •The pass-through of crude oil prices into gasoline and natural gas prices is examined.•We use a NARDL model to test for the long-run and short-run asymmetric reactions.•Both gasoline and natural gas prices significantly adjust to changes in the price of oil.•Negative oil shocks have greater effects than positive oil shocks.•Policy implications are discussed.