Since consumers are risk averse, unexpected changes in the consumption path lead to welfare losses, which makes the calculation of the costs associated with macroeconomic uncertainty for any countries important. However, there is a focus on developed countries in the literature, despite the fact that developing countries show greater volatility of income and consumption. For this reason, this article investigates the welfare costs of macroeconomic uncertainty in a sample composed of 17 Latin American countries. When estimating specific stochastic consumption processes for each of these countries, the results indicate that the welfare cost of macroeconomic uncertainty is considerably higher in Latin America than in the United States. This suggests that countries in this block could have substantial welfare gains if economic policies were implemented to mitigate such uncertainties. However, this does not imply that existing economic policies should be intensified, because if these policies turn out to be inappropriate, the welfare cost of uncertainty can be amplified.