How should one cope with complexity and uncertainty in mega infrastructure projects? While rational theories tend to eliminate or reduce these unruly conditions, the authors of this article are in search of a different approach to deal with the characteristics of complexity and uncertainty proactively. Three theoretical reflections are introduced to explore possible solutions: (1) the change of institutions to address the problem of excessively simple structures for making decisions on complex projects; (2) the shaping of a learning environment in order to deal with uncertainty and emergent properties; and (3) balancing the generation and the reduction of a variety of policy options in order to select a limited number of feasible options and to bridge the strategic exploration and the operational processes of decision making. Informed by this conceptual thought, concrete pathways are developed and discussed by means of a case study of the construction of a high‐speed railway line in the Netherlands.