This chapter explains what theory is in health professions education research. It discusses different ways of understanding theory — by size/scope, philosophical foundations, disciplinary underpinnings, clusters, types, and continua. The chapter also discusses the challenges of employing theory and outlines the various approaches to its application. Theory can vary from grand to macro and micro. Grand theories are relatively abstract general approaches, which provide scaffolding, typically theorising all aspects of something such as being, knowing, and learning at a societal level, and are applicable to many different situations. The chapter provides an overview of multiple purposes of grand theory dependent on research approach — to explain/predict, to understand, to emancipate, and to improve, as well as unpacking different roles of macro/micro theory in shaping the research process and testing or building theory. A powerful way of developing theoretical connoisseurship is through participation — conducting theoretically-orientated collaborative research.