The research focused on the study of the role of financial statements in Treasury bill investment using four Nigerian banks. The identified problem motivating the study stems from the misunderstanding on the path of many investors on the importance of proper interpretation of the role of financial statements in financial information dissemination especially as regards investment decisions taken. The research objective is to determine if accounting information has significant relationship in investing in treasury bills. The methodology of study employed the use of primary data derived from questionnaires distributed to four banks (25questionaires each). In the process of sampling the study involves the use of primary data and regression diagnostics and SPSS. The R value in the model summary table shows an R-value of 0.963. The R2 value shows how much of the total variation in the dependent variable (Treasure bill) that can be explained by the independent variable (Financial statement). The table shows that 93% variation in Treasure bill can be explained by financial statement. This is equally high. With a sig (p-value) of (0.000) which is less than Alpha (0.05) and a t value of 50.246, the overall regression model, therefore, statistically predicts the outcome variables (That is, it is a good fit). Since the p-value (0.000) is less than Alpha (0.05), that is 0.000<0.05, and t calculated (50.246) is greater than t tabulated (1.960), we therefore reject the null hypothesis and accept the alternative hypothesis which implies that there is a significant relationship between financial statement and Treasury bill investment of banks. In conclusion there is a proven significant association between financial statement and Treasury bill investment of banks. Deposit money banks should employ rigorous ratios and other forms of financial analysis in their financial statements to facilitate the decision making of the investor on their Treasury bill. With improved technological methods, financial analysts should be encouraged at developing statistical packages that would aid investment decisions taking into consideration the average expectation of profit, time value of money, asset diversification, time horizon of payback period etc