Just like other sectors, energy sector in Zambia has faced exchange rates volatility for a long time. Research has shown that Zambian kwacha has been unstable and that it has been depreciating. This study aimed at assessing the effect of foreign exchange rates on the financial performance of power utility companies in Zambia as a result of the devaluation of kwacha. It was an empirical study as the researcher sought to gain knowledge by using quantitative data. Purposive sampling was used in selecting Copperbelt Energy Corporation Plc and secondary data used in the study was extracted from the company’s published audited financial statements. Regression analysis using GraphPad software and Microsoft tools were used to analyse data and findings were presented in tables and graphs.