When people make choices, they may face various forms of uncertainty: Aleatory uncertainty refers to stochastic variability in outcomes whereas epistemic uncertainty refers to a lack of knowledge of something that is, in principle, knowable. Although this distinction is commonly used, to date no study has systematically disentangled (1) whether people perceive these two forms of uncertainty differently, (2) whether their perceptions are independent or correlated, and (3) how the respective perceptions are associated with people’s general perception of a situation’s uncertainty. To answer these questions, we conduct an experiment with a 2 (epistemic uncertainty: low vs. high) x 2 (aleatory uncertainty: low vs. high) between-subjects design. We implement this with vignette-based scenarios and (incentivized) lottery tasks. As outcome measures, we assess participants’ perception of epistemic, aleatory, and general uncertainty using both single-item measures, and the Epistemic Aleatory Rating Scale (Ülkümen et al., 2016) at multiple time points during the tasks. The data we collect allow us to model the relationship between different types of perceived uncertainty, and their change in reaction to increasing knowledge obtained during the lottery tasks. By explaining how an individual’s perception of uncertainty changes as a function of the source and degree of uncertainty, we intend to make at least two contributions. First, we inform future research on how to investigate the distinct influence of types and perceptions of uncertainty on a decision maker’s choices. Second, we aim to contribute to an old debate on how to distinguish ambiguity, uncertainty, risk, and different flavors thereof.