Financial distress in corporate entity has become more popular and essential to stakeholders of any business organization. This is because the management of such deteriorating situation may either bring about a collapse or turnaround of the business entity. Hence, the purpose or reason for conducting this study is to establish the fact that financial distress has effects or impact on the value of firms listed on the GSE. However, the study is of two (2) specific objectives, and the first specific objective of the study is to assess whether financial distress has any significant influence on firms’ value listed on GSE. Secondly, the specific objective is to determine whether the price for the distress risk was adequately priced by the market. This study seeks to highlight on financial distress as predicted by Altman’s Z-Score model and the firm’s value, which happens to be the market capitalization. Also data collected are secondary data collected from the financial statement and yearly reports of five (5) firms listed on the GSE over five (5) year-period ranging from 2014 to 2018. A long enough period to accurately predict well their (firms) state of financial distress and detect the impact financial distress has on the value of the firms. Microsoft Excel 2013 and SPSS version 220.127.116.11 were used in analyzing the data gathered. Moreover, assessment of the nature and the extent of the relationship between the dependent variable (value of the firm) and the independent variable (financial distress) were conducted through the use of regression and correlation tests. Liquidity, financial leverage, assets quality and profitability of the firm were employed as moderating variables. The outcome of this study established that there was 74% strong positive relationship that existed between the Altman Z-score and the value of the firm in the market (market capitalization). Again this study revealed that there existed a positive beta value of 0.354 between the two variables showing that one (1) unit increase in Altman Z-score (a predictor of reduction in the level of financial distress) would cause an increase in the valued of firm.