We present strong and robust evidence that Economic Policy Uncertainty (EPU) exposure has an adverse effect on firm-level investment efficiency. Moreover, we find that high-EPU-exposed firms exhibit the highest investment efficiency in low EPU periods but become the most inefficient in high EPU periods. By contrast, low-EPU-exposed firms have no significant difference in investment efficiency between high and low EPU times. Our results survive a battery of robustness checks, such as addressing potential biases arising from sample selection and reverse causality