Strategic investment by SOEs plays an important role in meeting national strategic development needs and promoting high-quality development of SOEs. However, strategic investment can bring high agency costs to SOEs, and effective incentive and constraint mechanisms are needed to guarantee the vigor and efficiency of strategic investment. From the perspective of CEO compensation design, this paper finds that there is asymmetry in the effect of SOEs strategic investment on CEO compensation performance sensitivity. The effect of SOEs strategic investment on CEO pay performance sensitivity is stronger when performance is declining compared to when performance is rising. This suggests that the design of CEO compensation for strategic investment in SOEs exhibits characteristics that stress constraints over incentives. The heterogeneity analysis suggests that the incentive effect (for strategic investment) of compensation design in SOEs can be triggered to some extent by reducing government intervention and lengthening the chain of control. The findings of this paper have implications for optimizing the compensation design for strategic investment in SOEs and promoting the high-quality development of SOEs.