Modeling the mechanisms that determine how humans and other agents choose among different behavioral and cognitive processes-be they strategies, routines, actions, or operators-represents a paramount theoretical stumbling block across disciplines, ranging from the cognitive and decision sciences to economics, biology, and machine learning. By using the cognitive and decision sciences as a case study, we provide an introduction to what is also known as the strategy selection problem. First, we explain why many researchers assume humans and other animals to come equipped with a repertoire of behavioral and cognitive processes. Second, we expose three descriptive, predictive, and prescriptive challenges that are common to all disciplines which aim to model the choice among these processes. Third, we give an overview of different approaches to strategy selection. These include cost‐benefit, ecological, learning, memory, unified, connectionist, sequential sampling, and maximization approaches. We conclude by pointing to opportunities for future research and by stressing that the selection problem is far from being resolved.