This study explores the relation between financial uncertainty and volatility in China. The time variation in financial uncertainty shocks is theoretically closely related to stock return dynamics. Empirically, the financial uncertainty measure is based on a large set of economic and financial variables and captures its unpredictable component. Over the sample period from 2000 to 2021, we find that financial uncertainty positively impacts the trend component of market volatility and that it improves volatility predictions in both statistical and economic terms. Our study sheds new light on the sources driving volatility and the dynamic relation between uncertainty and volatility components.