Smog pollution in China has drawn worldwide attention. Using companies’ data from Chinese Securities Markets and Accounting Research database (CSMAR) and air quality monitoring data from China National Environmental Monitoring Centre(CNEMC), we employ the PM2.5 concentration as a proxy for smog pollution and examine the effect of smog pollution on company environmental uncertainty and operating investment in 74 key cities in China. The empirical results show that smog pollution causes an increase in company environmental uncertainty and a decrease in operating investment for Chinese listed companies, with environmental uncertainty as a mediating variable. Smog pollution can positively influence companies’ environmental uncertainty through their employees and high pressure from the public and government. According to the real-options-based investment approach, companies choose to “wait and see” and, correspondingly, reduce operating investment under high environmental uncertainty such as that caused by smog pollution. Additionally, we find that state-owned enterprises are more significantly influenced by smog pollution in terms of environmental uncertainty and operating investment because of their close relationships with the government and their responsibility to set an example among Chinese companies in the fight against smog pollution.