This study uses panel data (2004Q2-2021Q2) of a large-scale official statistical survey of Japanese firms to documents trends and characteristics of Knightian uncertainty, focusing on the impact of the COVID-19 pandemic. In addition, we analyze the relationship between Knightian uncertainty and investment at the firm level. According to the results, first, there is a positive correlation between the uncertainty over the firms’ business conditions (micro uncertainty) and the uncertainty over the domestic economic conditions (macro uncertainty), but there are many firms whose business outlooks are certain even if the macroeconomic outlook is uncertain. Second, unlike the Global Financial Crisis, which was characterized by a definite negative projection, uncertainty increased significantly during the COVID crisis. Third, uncertainty has a negative association with future investment at the firm-level, and the effects of micro uncertainty dominate over those of macro uncertainty.