An immersion lithographic projection apparatus has a liquid confinement structure configured to at least partly confine liquid to a space between a projection system and a substrate, the confinement structure having a buffer surface, when in use, positioned in close proximity to a plane substantially comprising the upper surface of the substrate and of a substrate table holding the substrate, to define a passage having a flow resistance. A recess is provided in the buffer surface, the recess, when in use, being normally full of immersion liquid to enable rapid filling of a gap between the substrate and substrate table as the gap moves under the buffer surface. The recess may be annular or radial and a plurality of recesses may be provided.