There has been enormous progress in psychotherapy research. This has culminated in recognition of several treatments that have strong evidence in their behalf. Even so, after decades of psychotherapy research, we cannot provide an evidence-based explanation for how or why even our most well studied interventions produce change, that is, the mechanism(s) through which treatments operate. This chapter presents central requirements for demonstrating mediators and mechanisms of change and reviews current data-analytic and designs approaches and why they fall short of meeting these requirements. The role of the therapeutic alliance in psychotherapy and cognitive changes in cognitive therapy for depression are highlighted to illustrate key issues. Promising lines of work to identify mediators and mechanisms, ways of bringing to bear multiple types of evidence, recommendations to make progress in understanding how therapy works, and conceptual and research challenges in evaluating mediators and mechanisms are also presented.