Public policy to promote entrepreneurship can be of a two-fold nature. It can focus on lowering barriers or on providing direct support to entrepreneurs. Particularly in the latter case, there is a strong need for identifying the effects of policy outcomes. The paper explains the role of evaluation in the public policy cycle, reviews the methodological approaches to evaluation of SME and entrepreneurship policies and programmes in developed countries as well as discusses the challenges in entrepreneurship policy evaluation stemming from the move from narrowly defined outputs to more holistic evaluation frameworks. To this end, qualitative data analysis is performed to recognise practices of OECD countries in this field, identify good practices and enrich the ongoing debate about how to assess SME and entrepreneurship policies and programmes in a more comprehensive and holistic way drawing on the core concepts of systems thinking.