This may well be an open problem, I'm not sure.
In Berger's classification (refined by Simons, Alekseevsky, Bryant,…) of the holonomy representations of irreducible non-symmetric complete simply-connected riemannian manifolds, there are some cases which imply Ricci-flatness: namely, $\mathrm{SU}(n)$ (Calabi-Yau) in dimension $2n$, $\mathrm{Sp}(n)$ (hyperkähler) in dimension $4n$, $G_2$ in dimension $7$ and $\mathrm{Spin}(7)$ in dimension $8$.
A natural question is the converse: whether Ricci-flatness implies a reduction of the holonomy. The other holonomy representations are known not to be Ricci-flat: $\mathrm{Sp}(n)\cdot \mathrm{Sp}(1)$ (quaternionic kähler) is known to be Einstein with nonzero scalar curvature, and in the case of $\mathrm{U}(n)$ in dimension $2n$ (Kähler) it is known that if a Kähler manifold is Ricci-flat then the holonomy is contained in $\mathrm{SU}(n)$, so that it is Calabi-Yau. So the remaining question is whether there exists any Ricci-flat riemannian manifolds with generic holonomy $\mathrm{SO}(n)$ in dimension $n$.
I would like to know the present status of this question and if it's still open what the experts think: do people expect examples of Ricci-flat riemannian manifolds with generic holonomy?
Bonus question: How about if the manifold is pseudoriemannian?
Added
Thanks to Igor's answer below, here are some further remarks.
The question needs to be refined. The riemannian analogue of the Schwarzschild metric
on $\mathbb{R}^2 \times S^2$ is an example of a complete, simply-connected noncompact Ricci-flat metric with generic holonomy. So the question is about compact examples.
In fact, in Berger's 2003 book A panoramic view of Riemannian geometry (page 645) one reads at the bottom of the page:
It remains a great mystery that no Ricci flat compact manifolds are known which do not have one of these special holonomy groups.
Best Answer
I am not an expert but the question:
"Does there exist a simply-connected closed Riemannian Ricci flat $n$-manifold with $SO(n)$-holonomy?"
is a well-known open problem. Note that Schwarzschild metric is a complete Ricci flat metric on $S^2\times\mathbb R^2$ with holonomy $SO(4)$, so the issue is to produce compact examples; I personally think there should be many. The difficulty is that it is hard to solve Einstein equation on compact manifolds. If memory serves me, Berger's book "Panorama of Riemannian geometry" discusses this matter extensively.