This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment decisions. In a large survey of firms, I elicit the subjective probability of a severe macroeconomic downturn and firms’ exposure to such events. Using observational and experimental variation, I find that a higher probability of a severe macroeconomic downturn substantially lowers investment, particularly for more exposed firms, beyond what can be explained by changes in firms’ subjective first and second moments. In a heterogeneous firm model calibrated to the survey evidence, tail risk concerns make fiscal policy particularly effective for stabilizing investment.