Policymakers and public health researchers alike have demanded better evidence of the effects of interventions on health inequalities. These calls have been repeated most recently in the UK in the final Wanless report, which spoke of the "almost complete lack of an evidence base on the cost-effectiveness of public health interventions", and pointed more generally to the limited evidence base for public health policy and practice. Wanless and others have suggested that the gaps may be partially filled by exploiting the opportunities offered by "natural experiments", such as changes in employment opportunities, housing provision, or cigarette pricing. Natural experiments have an important contributions to make within the health inequalities agenda. First, they can play an important role in investigating the determinants of health inequalities. Second, they can assist in the identification of effective interventions, an area where it is widely acknowledged that the evidence-base is currently sparsely populated. This paper discusses some of the benefits and limitations of using this type of evidence, drawing on two ongoing quasi-experimental studies as examples.