The zeal to constantly advance the educational practise of students has been rising progressively around the world and entrepreneurship education in Nigeria cannot be left out. Entrepreneurship education in Nigeria has been proceeding on two distinctive directions – general entrepreneurship education at tertiary institutions and skill acquisition programme by government and non-governmental agencies. However, these programmes have fallen short of expectations in terms of curbing unemployment in Nigeria. One reason often adduced is the weakness of the current structure of imparting entrepreneurship knowledge. As a result, the pedagogical approach to entrepreneurship education is often seen as a way out. Hence the paper examines the current challenges of entrepreneurship education and the need to adopt pedagogical approach to entrepreneurship education in Nigeria. Various literature on entrepreneurship education and pedagogical approaches are reviewed, theories that support this study reviewed and theoretical framework developed. The importance of pedagogical approach to entrepreneurship education discussed. Based on the necessities, appropriate pedagogical approach is recommended in entrepreneurship education in Nigeria.