Abstract This paper investigates the asymmetrical exchange rate pass-through (ERPT) to consumer prices for emerging and developing Asian countries from 1995Q1 to 2016Q4. We estimate the ERPT to consumer prices for each country by using the nonlinear autoregressive distributed lag (NARDL) approach and dynamic panel techniques robust to cross-sectional dependence. First, the results suggest an asymmetrical ERPT for local prices in emerging Asian sub-region in the short and long-term and only in the short-term in the developing Asian sub-region. Second, this study finds a significant and complete ERPT for appreciation, higher during local currency appreciation than depreciation in the long-term. Our results indicate downward price rigidity and weak competitive market structures. Finally, the pass-through has not declined in emerging and developing Asian countries in the long-term, as has been suggested by most of the studies on developed countries. On average, consumer prices rise by 0.90% (0.50%) following a 1% appreciation (depreciation) of the local currency in the long-term for the entire emerging and developing Asian region with different effects across the subregions during the short-term. The ERPT is higher in emerging Asian sub-region associated with low inflation levels and price volatility than in developing Asian sub-region. Therefore, the policy implication is to consider these asymmetries when determining the monetary policy rules and to promote competitive market structures and trade liberalization in emerging and developing Asian countries.