Satellite instruments are nowadays successfully utilised for measuring atmospheric aerosol in many applications as well as in research. Therefore, there is a growing need for rigorous error characterisation of the measurements. Here, we introduce a methodology for quantifying the uncertainty in the retrieval of aerosol optical thickness (AOT). In particular, we concentrate on two aspects: uncertainty due to aerosol microphysical model selection and uncertainty due to imperfect forward modelling. We apply the introduced methodology for aerosol optical thickness retrieval of the Ozone Monitoring Instrument (OMI) on board NASA's Earth Observing System (EOS) Aura satellite, launched in 2004. We apply statistical methodologies that improve the uncertainty estimates of the aerosol optical thickness retrieval by propagating aerosol microphysical model selection and forward model error more realistically. For the microphysical model selection problem, we utilise Bayesian model selection and model averaging methods. Gaussian processes are utilised to characterise the smooth systematic discrepancies between the measured and modelled reflectances (i.e. residuals). The spectral correlation is composed empirically by exploring a set of residuals. The operational OMI multi-wavelength aerosol retrieval algorithm OMAERO is used for cloud-free, over-land pixels of the OMI instrument with the additional Bayesian model selection and model discrepancy techniques introduced here. The method and improved uncertainty characterisation is demonstrated by several examples with different aerosol properties: weakly absorbing aerosols, forest fires over Greece and Russia, and Sahara desert dust. The statistical methodology presented is general; it is not restricted to this particular satellite retrieval application.