This study investigates the relationship between the stock performance of the oil and gas industry and crude oil prices, alongside key macroeconomic indicators such as the Index of Industrial Production (IIP), inflation rate, and exchange rate. We focus on two Indian stock market indices—BSE Sensex (a broad market indicator) and the BSE Oil and Gas Index (a sector-specific index). The analysis is based on monthly data from January 2014 to December 2024. To explore these relationships, we employed correlation analysis, the Granger causality test, and Generalized Least Squares (GLS) regression. The findings reveal that crude oil prices significantly influence the BSE Oil and Gas Index but do not have a direct causal effect on the broader BSE Sensex. Among the macroeconomic indicators, only the IIP was found to Granger cause the BSE Sensex, indicating a predictive relationship between industrial output and overall market performance. Interestingly, all the selected macroeconomic indicators—along with crude oil prices—demonstrated predictive power over the BSE Oil and Gas Index. This study highlights the sensitivity of sector-specific indices to commodity prices and macroeconomic trends, offering valuable insights for investors, policymakers, and analysts in understanding the dynamics of the oil and gas sector within the broader economic context.