We propose to measure strategic uncertainty - uncertainty arising from multiple equilibria - by eliciting certainty equivalents in games analogous to measuring risk attitudes in lotteries. Participants played a series of stag hunt games, entry games, and lotteries. The two games differ in their equilibrium properties: stag hunt games are games of strategic complementarity (e.g., an investment pays off if and only if a sufficient number of agents invest in the same industry, so all invest and nobody invest are two Nash equilibria), while entry games are of strategic substitutability (e.g., if too many agents invest in a new market all get nothing; here we should not all do the same, but instead choose mixing strategies in equilibrium). We used fMRI to measure the neural correlates of strategic uncertainty and risk in games and lotteries.  A brain network related to strategic reasoning (mPFC, TPJ, STS, precuneus) is activated in games playing vs. Lotteries, thus distinguishing the social and the private nature of the choice context. Furthermore, we found a behavioral correlation and a similar pattern of activity in the striatum (a reward/risk related structure) between choosing lotteries and choosing the stag hunt game; while insula and lateral OFC activity was mainly related to entry games choices. Interestingly, we found a clear separation of insula activity in lotteries and stag hunt games when distinguishing between risk averse and risk loving players. However, in entry games this distinction is not at all found. In the stag hunt game a single and intuitive guess has to be made: how many agents will choose high effort (risk); thus, in this game low level of strategic reasoning players who have a high-coordination belief and choose high effort and all higher-level players do the same thing. So low and high levels of reasoning correspond; put differently, 'further' deliberation does not produce a different choice and is inefficient. In entry game, however, you get the back and forth of enter-no-enter- etc.. Deliberation means an iterated set of reasoning in which the optimal choice at each of several points in the iteration is different. The results from the behavior and the brain reflect this crucial distinction between the two classes of games. We conclude that the entry game creates more strategic uncertainty as predicted by the nature of the theoretical equilibrium which also involves levels of strategic reasoning.