This paper provides new empirical evidence on the asymmetric reactions of the US natural gas market and US economy to its market fundamental shocks. We find that results based on a smooth transition vector autoregressive (STVAR) model provides a plausible and robust explanation to the behavior of the US natural gas market, which asymmetrically reacts in bad times and good times. During times of recession, natural gas production shrinks in response to a positive oil price shock, while the corresponding response is found to be positive in times of expansion. The positive relationship between the price of natural gas and crude oil is found to be more prominent in expansions, especially in the long run. In addition, the results also reveal that US economic activity is much more sensitive to oil and natural gas price shocks occurring in bad times than in good times. •We examine the asymmetric reactions of the U.S. natural gas market and US economy.•We use the STVAR model to distinguish the recession and expansion regimes.•Effects of oil price shocks on natural gas market depend on the economic condition.•Comovements between the natural gas and oil prices are more prominent in expansions.•US economy is much more sensitive to energy price shocks occurring in bad times.