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This article critically analyses the concept of evidence in evidence‐based policy, arguing that there is a key problem: there is no existing practicable theory of evidence, one which is philosophically‐grounded and yet applicable for evidence‐based policy. The article critically considers both philosophical accounts of evidence and practical treatments of evidence in evidence‐based policy. It argues that both fail in different ways to provide a theory of evidence that is adequate for evidence‐based policy. The article contributes to the debate about how evidence can and should be used to reduce contingency in science and in policy based on science.