Weighing up sources of evidence is a key skill for clinical decision‐makers. Randomised controlled trials (RCTs) and observational studies each have advantages and disadvantages, and in both cases perceived weaknesses can be improved through modifications of design and analysis. In the field of pharmacoepidemiology, RCTs are the best way to determine whether an intervention modifies an outcome being studied, largely because randomisation reduces bias and confounding. Observational studies are useful to investigate whether benefits/harms of a treatment are seen in day‐to‐day clinical practice in a wider group of patients. Although observational studies, even in a small cohort, can provide very useful clinical evidence, they may also be misleading (as shown by subsequent RCTs), in part because of allocation bias. There is an unmet need for clinicians to become well versed in appraising the study design and statistical analysis of observational pharmacoepidemiology (OP) studies, rather like the medical training already offered for RCT evaluation. This is because OP studies are likely to become more common with the computerisation of healthcare records and increasingly contribute to the evidence base available for clinical decision‐making. However, when the results of an RCT conflict with the results of an OP study, the findings of the RCT should be preferred, especially if its findings have been repeated elsewhere. Conversely, OP studies that align with the findings of RCTs can provide rich and useful information to complement that generated by RCTs.