We study a worst-case scenario in generalization: Out-of-domain generalization from a single source. The goal is to learn a robust model from a single source and expect it to generalize over many unknown distributions. This challenging problem has been seldom investigated while existing solutions suffer from various limitations such as the ignorance of uncertainty assessment and label augmentation. In this paper, we propose uncertainty-guided domain generalization to tackle the aforementioned limitations. The key idea is to augment the source capacity in both feature and label spaces, while the augmentation is guided by uncertainty assessment. To the best of our knowledge, this is the first work to (1) quantify the generalization uncertainty from a single source and (2) leverage it to guide both feature and label augmentation for robust generalization. The model training and deployment are effectively organized in a Bayesian meta-learning framework. We conduct extensive comparisons and ablation study to validate our approach. The results prove our superior performance in a wide scope of tasks including image classification, semantic segmentation, text classification, and speech recognition.