In his 1912 book _The Problems of Philosophy_, Bertrand Russell advocates an indirect realism with regard to physical objects. Only two years later, in his book _Our Knowledge of the External World_ and the paper “The Relation of Sense-Data to Physics”, he changes his method in philosophy. Instead of inferring the existence of physical objects, he now sets out to construct them out of sense-data. As I will argue in this article, the main argument from _The Problems of Philosophy_ can (...) be rationally reconstructed as an inference to the best explanation which infers to unobservable objects. The main motivation for the new approach in _Our Knowledge of the External World_, on the other hand, is to establish a more direct variant of realism, in particular because Russell became skeptical with regard to inferences to unobservable objects. As I will argue, the resulting theory of the physical world loses so much in simplicity that it becomes an unattractive alternative to his earlier position, and Russell’s reason for rejecting simplicity as a criterion of theory choice turns out to be inconsequential. (shrink)