Extensive studies have sought to examine the economic effects of infrastructure investments, however macroeconomic studies are beset with concerns about heterogeneity and endogeneity. To address the problems of endogeneity, spurious correlation and equivocal findings, this study is based on a micro perspective and examines the effect of infrastructure provision at the individual firm level, applying instrumental variables, a propensity score matching strategy, and difference-in-difference analysis by using natural experimental design settings. We employ a new and more comprehensive measure of transport infrastructure, including freight and passenger transport by four modes: railway, highway, waterways and civil aviation. We use a firm-level panel dataset measuring the individual firm performance, which covers 2383 companies spanning 13 years from 2003 to 2015, to detect the effects of transport infrastructure. The results indicate that transport infrastructure positively and statistically significantly spurs firm performance. We further explore the mechanisms through which infrastructure enhances firm performance. The economic return of transport investments is shown to be more substantial for the industries that have higher dependency on transport, and for the firms who have more interregional business. On the other hand, for state-owned firms, the effect of transport investment is weaker. Transport investment yields lesser returns for the firms in economically less developed areas, which may lack the institutional capacity to benefit from transport investments.