Innovation is the source of economic development, and innovation sustainability is the key to maintaining a competitive advantage. This paper takes the A-share listed companies from 2009 to 2020 as a research sample to explore the impact of economic policy uncertainty on the sustainability of enterprise innovation. The study found that there is a "U-shaped" non-linear relationship between economic policy uncertainty and the sustainability of enterprise innovation, and R&D investment plays a part of the mediating role. Further research shows that the "U-shaped" nonlinear impact of economic policy uncertainty on the sustainability of enterprise innovation shows heterogeneity under different location factors. The shareholding of a number of major shareholders and the relatively loose monetary policy can alleviate the "U-shaped" impact of economic policy uncertainty on the sustainability of corporate innovation. Therefore, when adopting macroeconomic policies to regulate economic development, the government should carefully grasp the scale of policy regulation and control, further improve China''s multi-level capital market system, so as to continuously improve the level of innovation sustainability of enterprises and promote the high-quality development of China''s economy.