The motto of the conspiracist, “Do your own research,” may seem ludicrous to scientists. Indeed, it is often dismissed as a mere rhetorical device that conspiracists use to give themselves the semblance of science. In this perspective paper, we explore the information-seeking activities (“research”) that conspiracists do engage in. Drawing on the experimental psychology of aha experiences, we explain how these activities, as well as the epistemic experiences that precede (curiosity) or follow (insight or “aha” experiences) them, may play a crucial role in the appeal and development of conspiracy beliefs. Aha moments have properties that can be exploited by conspiracy theories, such as the potential for false but seemingly grounded conclusions. Finally, we hypothesize that the need for autonomous epistemic agency and discovery is universal but increases as people experience more uncertainty and/or feel epistemically excluded in society, hence linking it to existing literature on explaining conspiracy theories.