"Known" equations and physics?
But I am curious: are there still phenomena that are purely classical in nature (i.e., not involving quantum mechanics or relativity) that we fundamentally do not understand? I don’t mean problems where the physics is known but the equations are too hard to solve (like the Navier-Stokes equations in turbulence) — in such cases, we at least understand the governing principles even if the math is intractable.
(emphasis is mine)
Nigel Goldenfeld claims that turbulence is the last great unsolved problem of classical physics. However, the same Goldenfeld also claims that the idea that turbulence can be explained within Navier-Stokes equations is misguided, and the person who solves the problem of turbulence likely would not qualify according to the criteria of the prize award for solving this problem.
Classical vs. quantum/relativistic
Another point regarding unsolved problems is that distinction between classical and quantum/relativistic is somewhat artificial. Firstly, the distinction is somewhat historical - we now know that the world is not classical, and that none of the phenomena is classical. Apart from this obvious historical value, classical can be viewed as a limit, which is applicable in certain cases... but it is hard to say whether it is applicable to a problem that is not solved yet.
Thus, as the book by already mentioned Nigel Goldenfeld explains, many strongly correlated systems, although inherently quantum in nature, can be described by the same models as classical systems. At least, in the normalization group perspective. There are plenty of research (and hence the unresolved problems) in this direction.
Many-body systems and non-equilibrium statistical physics
Finally, other answers have already mentioned many problems related to behavior of many-body systems (like entropy/arrow of time.) These are specially numerous when it comes to non-equilibrium situations (like explaining life, evolution, etc.)
Related:
Is limited computational capacity a fundamental obstacle?
Life and Death, and Energy Conservation
Does physics explain why the laws and behaviors observed in biology are as they are?