Evidence-based approaches to policy-making are growing in popularity. A generally embraced view is that with the appropriate evidence at hand, decision and policy making will be optimal, legitimate and publicly accountable. In practice, however, evidence-based policy making is constrained by a variety of problems of evidence. Some of these problems will be explored in this article, in the context of the debates on evidence from which they originate. It is argued that the source of much disagreement might be a failure to addressing crucial philosophical assumptions that inform, often silently, these debates. Three controversial questions will be raised which appear central to some of the challenges faced by evidence-based policy making: firstly, how do certain types of facts candidate themselves as evidence; secondly, how do we decide what evidence we have, and how much of it; and thirdly, can we combine evidence. In addressing these questions it will be shown how a philosophically informed debate might prove instrumental in clarifying and settling practical difficulties.