<p>The importance of policy-related decisions in preserving the environment has recently been the focus of scholars, with a particular emphasis on uncertainties inherent in economic and financial policies. The present research extends the prior body of knowledge by examining the short- and long-term asymmetric effects of climate policy uncertainty on aggregate and sectoral CO₂ emissions in the United States between January 2000 to October 2021. To this end, the study incorporates the climate policy uncertainty index developed by Gavriilidis (<CitationRef CitationID="CR33">2021</CitationRef>) into a Stochastic Impacts by Regression on Population, Affluence, and Technology model, which is then estimated using the multiple threshold nonlinear Autoregressive Distributed Lag (MTNARDL) model. Unlike the standard ARDL and nonlinear ARDL models, the MTNARDL indicates long-term asymmetric effects of climate policy uncertainty on aggregate and sectoral CO₂ emissions. The findings reveal significant differences between the effects of small and large climate policy uncertainty changes on the environment. Large changes in climate policy uncertainty are found to reduce CO₂ emissions, while small changes deteriorate the environment in both the short- and long-run. These findings remain consistent whether the MTNARDL with quintiles or deciles is considered and across all sectors except transportation, where uncertainty about climate policy leads to a decrease in CO2 emissions.</p>