There has been some discussion about agent-based modelling (ABM) and theory, particularly how ABM might facilitate theory building. However, there is confusion about the different ways they could relate and some scepticism as to whether theory is needed if one has an ABM. This paper distinguishes some of the different ways that the term “theory” is used in ABM papers in three important ABM journals: Environmental Modelling & Software, Computers, Environment and Urban Systems and the Journal of Artificial Societies and Social Simulation. Apart from the simple-minded identification of theory with mathematics, we distinguish nine different ways that theory and ABM relate. This analysis is situated with respect to some of the expectations and philosophical background behind the idea of “theory”. The paper concludes with some ways in which theory and ABM could work better together, some possible ways forward and suggests that a more cautious approach to generalisation might be more appropriate.