Evidence-based policy making has been criticised as a revival of the 'rationality project' in which democratic politics is regarded as rent-seeking and a deadweight loss to society. In response, the evidence-based policy movement has failed to articulate a defence in which the rationality animating the policy process is situational and contextual rather than unique and authoritative. This article traces the movement's motto -'what works?'- to the American pragmatist movement, whose influence on Harold Lasswell and New Labour in the UK was substantial. This article argues that the ambition for evidence-based policy-making should be seen in terms of the transition from a single, unique and universal rationality toward multiple rationalities that vary according to different policy making contexts. Interpreted in such terms, evidence-based policy making can avoid several of the main criticisms, and offer strong potential to contribute to solving policy problems.