This paper investigates the oil income uncertainties (including exchange rate uncertainty and inflation uncertainty) on private investment in machinery and buildings sectors in the Iranian economy using of Structural Vector Auto Regressive (SVAR) during the period (1990:1-2013:4). The results of Impulse Response Functions (IRF) and Variance Decomposition (VD) show that shock in government oil income has negative effect on private investment in machinery sector (MPI). However, exchange rate uncertainty has a strong negative effect, inflation uncertainty has a weak positive effect on MPI. Government oil income shock through exchange rate and inflation uncertainty, affects MPI  indirectly. Furthermore, government oil income shock has a strong negative effect on private investment in the buildings sector (BPI). Both exchange rate and inflation uncertainty have a weak negative effect on the BPI. So shock in government oil income affects BPI directly.