This paper explores the time-varying interaction between El Niño phenomenon and the oil market by applying the wavelet analysis. Few studies have explored the time-varying interrelationship between El Niño phenomenon and oil price (also the prices of petroleum products) by considering the time and frequency domains, and this paper will fill the above gaps. The empirical results reveal that El Niño index (NINO) which reflects the strength of El Niño phenomenon has a negative influence on oil price (OP) in the long run, but this view does not hold in the short and medium terms. These results are not consistent with the intertemporal capital asset pricing model (ICAPM), which indicates that there is a positive influence from NINO to OP. In turn, OP positively affects NINO in the medium term. Through comparing the five petroleum products, we can conclude that heating oil price (HOP) is the most relevant to NINO, while gasoline price (GOP) and diesel fuel price (DOP) have relatively weak relationships with it. Understanding the interactions between El Niño phenomenon and the oil market can provide insights for the investors, oil enterprises and related authorities.