A number of scholars have noted that Ellsberg’s seminal 1961QJE critique of the subjective expected utility model bears certain resemblances to ideas expressed in J. M. Keynes’s 1921 A Treatise on Probability. Ellsberg did not mention Keynes’s work in his article and referred instead to F. Knight’s distinction between ‘risk’ and ‘uncertainty’, thus inspiring a literature on various aspects of ‘Knightian uncertainty’. Nevertheless, the recent publication of Ellsberg’s PhD dissertation [Ellsberg, D. (2001). Risk, ambiguity and decision. New York: Garland Publishing], submitted to the University of Harvard in 1962, reveals that Ellsberg was actually aware of Keynes’s work. This gives rise to a number of interesting questions concerning the relation between the two authors’ works. The present paper, drawing in part on a conversation with Ellsberg, attempts to answer these questions. It turns out that the ‘mystery’ of why Ellsberg did not mention Keynes in his QJE article has a simple solution, namely that his dissertation was only completed after he had written the QJE article and that he had only come across Keynes after writing the QJE article. However, it is argued that although Ellsberg recognised the link between his notion of ambiguity and Keynes’s conception of the weight of argument in his PhD dissertation, he did not fully appreciate the fact that Keynes was more concerned with ‘practical’ rather than ‘conventionalised’ choice situations. To this extent, therefore, it is fair to say that ‘Knightian uncertainty’ is in many ways closer to the ideas expressed by Keynes than by Knight, and Keynes’s actual contribution to modern decision theory has been underestimated.