In this article, we discuss the methodological implications of data and theory integration for Theory-Based Evaluation (TBE). TBE is a family of approaches to program evaluation that use program theories as instruments to answer questions about whether, how, and why a program works. Some of the groundwork about TBE has expressed the idea that a proper program theory should specify the intervening mechanisms underlying the program outcome. In the present article, we discuss in what way data and theory integration can help evaluators in constructing and refining mechanistic program theories. The paper argues that a mechanism is both a network of entities and activities and a network of counterfactual relations. Furthermore, we argue that although data integration typically provides information about different parts of a program, it is the integration of theory that provides the most important mechanistic insights.