Climate change is widely recognised as a ‘wicked’ policy problem. Agreeing and implementing governance responses is proving extremely difficult. Policy makers in many jurisdictions now emphasise their ambition to govern using the best available evidence. One obvious source of such evidence is the evaluations of the performance of existing policies. But to what extent do these evaluations provide insights into the difficult dilemmas that governors typically encounter? We address this question by reviewing the content of 262 evaluation studies of European climate policies in the light of six kinds of dilemma found in the governance literature. We are interested in what these studies say about the performance of European climate policies and in their capacity to inform evidence-based policy-making. We find that the evaluations do arrive at common findings: that climate change is framed as a problem of market and/or state failure; that voluntary measures tend to be ineffective; that market-based instruments tend to be regressive; that EU-level policies have driven climate policies in the latecomer EU Member States; and that lack of monitoring and weak enforcement are major obstacles to effective policy implementation. However, we also conclude that the evidence base these studies represent is surprisingly weak for such a high profile area. There is too little systematic climate policy evaluation work in the EU to support systematic evidence-based policy making. This reduces the scope for sound policy making in the short run and is a constraint to policy learning in the longer term.