The geopolitical risk (GPR) index and economic policy uncertainty (EPU) index are uncertainty measures, which are tightly linked with the oil markets. This paper attempts to compare and distinguish the macro effects of the two uncertainty indexes on the oil market. Using the data from January 1985 to September 2020, we identify the GPR and EPU shocks within a VAR framework using the max-share identification method. We find that the EPU shock is of greater importance to the oil market than the GPR shock quantitatively. The EPU shock has a more pronounced adverse impact on the oil market and accounts for a larger share of oil market variations. The two shocks are statistically correlated, but there is no difference between ‘truly’ EPU shock and the responses of the baseline scheme. The TVP-VAR analysis confirms our main findings and further show that both shocks have time-varying impacts on the oil market. Our conclusions remain valid under different identification schemes and indicators. •We compare the macro effects of the GPR and EPU indexes on the oil market.•Max-share restrictions and orthogonal constraints are used to disentangle shocks.•The EPU shock has a larger adverse impact on the oil market than the GPR shock.•The effect of the EPU shock resembles that of a demand shock.•TVP-VAR analysis reveals that shocks have time-varying effects on the oil market.