People feel they understand complex phenomena with far greater precision, coherence, and depth than they really do; they are subject to an illusion—an illusion of explanatory depth. The illusion is far stronger for explanatory knowledge than many other kinds of knowledge, such as that for facts, procedures or narratives. The illusion for explanatory knowledge is most robust where the environment supports real‐time explanations with visible mechanisms. We demonstrate the illusion of depth with explanatory knowledge in Studies 1–6. Then we show (...) differences in overconfidence about knowledge across different knowledge domains in Studies 7–10. Finally, we explore the mechanisms behind the initial confidence and behind overconfidence in Studies 11 and 12, and discuss the implications of our findings for the roles of intuitive theories in concepts and cognition. (shrink)