This study investigates the asymmetric behavior of fiscal policies in response to oil revenue shocks among major oil-exporting countries. The analysis covers the period 2003–2022 and focuses on four key economies: Iran, Saudi Arabia, Nigeria, and Kuwait. In the first stage, the Markov Switching model is employed to identify the boom and bust phases of oil revenues in each country. By distinguishing between hidden regimes within the time series, this approach provides an objective basis for detecting structural fluctuations in oil income, thereby establishing a foundation for subsequent econometric analyses. Next, the Nonlinear Autoregressive Distributed Lag (NARDL) model is applied to examine the response of fiscal policy to positive and negative oil shocks in both the short and long run. The results reveal that fiscal reactions depend not only on the direction of the shock (positive or negative) but also on the time horizon. In the long run, governments tend to pursue fiscal discipline and saving strategies during oil booms, whereas in downturns they resort to structural expenditure adjustments. Conversely, short-term responses are often precautionary and experimental, with fiscal authorities basing decisions on the perceived persistence of shocks. Moreover, transitional or “ugly” periods exhibit more complex fiscal dynamics, including consumption smoothing and the use of hedging instruments to mitigate revenue volatility. Overall, the findings underscore the importance of medium-term fiscal frameworks, stronger financial institutions, and the development of forward-looking policy tools to enhance resilience against revenue fluctuations in oil-dependent economies.