This article reviews the results of efforts in five countries to build a national capacity to analyze social policy; these efforts were undertaken in oconjunction with Living Standards Measurement Survey (LSMS) projects. Case studies for Bolivia, Jamaica, the Kyrgyz Republic, South Africa, and Vietnam show that building such capacity requires explicit planning, significant time and money, open access to data, and strong support from policymakers. Lessons are drawn about four aspects of building capacity—training, technical assistance, research, and recruitment. The lessons learned from these LSMS projects apply in a more general sense to other kinds of capacity-building projects.