This study aims to examine the threshold effect of oil price volatility on macroeconomic uncertainty. To this end, a balanced panel data set covering 22 countries from the period 1999-2022 was analyzed using a dynamic panel threshold model. The findings reveal that oil price volatility has a significant and pronounced threshold effect on macroeconomic uncertainty. Specifically, the marginal effect of oil price volatility differs substantially below and above the threshold level. Another notable finding is that the level of dependence on energy imports is a key factor determining this threshold effect. In countries with low energy import dependence, oil price volatility below the threshold does not have a significant impact on macroeconomic uncertainty, whereas volatility above the threshold significantly increases macroeconomic uncertainty. In contrast, in countries with high energy import dependence, oil price volatility has a positive and significant impact on macroeconomic uncertainty both below and above the threshold level. Additionally, the findings indicate that, regardless of energy import dependence level, increases in real interest rates exacerbate macroeconomic uncertainty, while rises in per capita income help reduce it. These findings highlight the need for careful consideration of low interest rate policies in addressing macroeconomic uncertainty, and underscore the importance of promoting income-enhancing policies as an effective tool for fostering economic stability.