The case for undertaking policy analysis has been made by a number of scholars and practitioners. However, there has been much less attention given to how to do policy analysis, what research designs, theories or methods best inform policy analysis. This paper begins by looking at the health policy environment, and some of the challenges to researching this highly complex phenomenon. It focuses on research in middle and low income countries, drawing on some of the frameworks and theories, methodologies and designs that can be used in health policy analysis, giving examples from recent studies. The implications of case studies and of temporality in research design are explored. Attention is drawn to the roles of the policy researcher and the importance of reflexivity and researcher positionality in the research process. The final section explores ways of advancing the field of health policy analysis with recommendations on theory, methodology and researcher reflexivity.