Increasingly, evidence-based policymaking, in the form of randomized control trials (RCTs) in particular, are advocated as a means for studying the effects of planned social policy measures. Additionally, a Finnish basic income experiment was conducted in 2017–2018 as an RCT as a means of exploring alternative policy solutions, which gained widespread national and international political, media and scholarly attention. Despite the popularity of RCTs, there is a lack of studies of participants’ experiences of participation in social policy RCTs. In this article, we depart from the notion of ‘lived experiences’ when investigating a bottom-up participant perspective of the Finnish social policy experiment with the purpose of contributing to the understanding and future planning of ethically and methodologically sustainable policy experiments. Drawing on a qualitative, in-depth interview study of 81 Finnish basic income experiment participants, we examined their lived experiences and related views on the experiment. The analysis shows that although the idea of experimenting to demonstrate ‘what works’ in social policy was supported by participants in principle, various questions arose both concerning the tactical and political purposes of the experiment and the nature of scientific ‘evidence’. Furthermore, the results demonstrate that the impact of the media and political attention often surrounding more controversial policy experiments, like the Finnish one, can also challenge the RCT principles of ‘non-contamination’. Participants in highly politicized experiments also easily feel that they become objects of strong moral expectations and judgements, which in the Finnish basic income case clearly resulted in feelings of frustration and personal failure.