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Due to the surge in non-performing loans during the financial crisis, management and regulatory agencies are now more concerned about credit defaults. Using a two-step system GMM approach to the bank-level data from 2009 to 2018 in Bangladesh, this paper explores the bank-specific determinants and macroeconomic determinants of the credit risk of commercial banks in Bangladesh. This paper employs two credit risk metrics (i.e., non-performing loans and Z-score) to draw better conclusions. Banks with lower liquidity, high capital, and profit efficiency are more successful in managing credit risk. Increased access to loans, a strong capital base, and efficiency in profitability actually raise the number of prospective borrowers, build public confidence and bank resilience, and enhance the scrutiny and monitoring that reduce the probability of problem loans and variability in earnings. Again, the negative impact of GDP and inflation on credit risk have policy implications for the regulatory authorities in the country (i.e., Bangladesh Bank, Ministry of Finance, and so on).