A stable policy environment is a crucial factor in ensuring the development and growth of private enterprises. Against the backdrop of complex and volatile domestic and international economic conditions and increasingly frequent policy adjustments, it is of great significance to conduct an in-depth examination of the impact of economic policy uncertainty on the high-quality development of private enterprises in China. Based on the data of privately listed enterprises in China from 2003 to 2023, this paper uses a two-way fixed effects model to empirically test the impact of economic policy uncertainty on the high-quality development of private enterprises. This paper finds that: First, there is a significant inverted “U”-shaped relationship between economic policy uncertainty and the high-quality development of private enterprises, and the conclusion is valid after a series of robustness tests and endogenous treatment. Second, strategic differentiation plays a nonlinear mediating role between economic policy uncertainty and the high-quality development of private enterprises. Third, dynamic capability and its sub-dimensions (absorptive capacity, adaptability, and innovation capacity) positively moderate the inverted “U”-shaped relationship between economic policy uncertainty and the high-quality development of private enterprises. Specifically, the stronger the dynamic capability, the flatter the inverted “U”-shaped curve, indicating the later occurrence of the inflection point. Fourth, the advantage of financial resources can effectively alleviate the financing constraints brought by economic policy uncertainty. When a firm’s CEO lacks a financial background, the level of supply chain finance is low, or the level of digital inclusive finance development in a city is low, the relationship between economic policy uncertainty and the high-quality development of private enterprises presents a steeper inverted “U”-shaped curve with an earlier inflection point. The findings provide valuable insights for private enterprises on how to optimize strategic decision-making, strengthen dynamic capabilities, and leverage financial resources to enhance the quality of their development amid rising economic policy uncertainty.