Base rate neglect typically involves the underweighting of priors in a world with objective probability distributions (Kahneman and Tversky, 1973). In reality, however, individuals often face scenarios with ambiguous priors, in which they have no full confidence. We show, theoretically, that base rate neglect, which is typically regarded as irrational behavior under risk, is a rational strategy for ambiguity-averse individuals, who have an incentive to hedge the ambiguity in the base rate by assigning less weight to it. The evidence from a laboratory experiment supports our theoretical analysis: 1) ignoring the ambiguity about the base rate, subjects appeared to underweight the base rate, and more so for the more ambiguous base rate; 2) accounting for the ambiguity about the base rate, subjects were surprisingly sophisticated in weighting the base rate; 3) more ambiguity-averse subjects underweighted the base rate more.