Social policy making needs to involve robust evaluation to assess its impact. In this article, a social policy intervention focused on tackling food insecurity amongst vulnerable people is examined and the benefits and challenges of using an embedded approach to evaluation are considered. Food insecurity is defined as not always having the economic, social, and physical resources to ensure a sufficient supply of nutritionally appropriate food. Evidence suggests that food insecurity in the United Kingdom is increasing in the context of long‐term poverty, austerity, insecure employment, rising living costs, low pay, and cuts to welfare and public services. An embedded evaluation was conducted involving interviews with the intervention participants and observations of a series of cooking and food budgeting classes. The findings suggest that the classes had a positive impact on many of the participants, who felt more confident about cooking and valued the shared experience. However, given the acute problems facing many of the participants including long‐term poverty, policies aimed at tackling food insecurity need to go beyond cooking and food budgeting skills. The embedded evaluation approach contributed towards the overall impact of the intervention by providing insights that led to changes as part of an iterative process during the intervention rather than in the form of a final report after its completion. An embedded evaluation‐based approach can be resource intensive, and the role of the evaluators can present challenges, but it can help to bridge the gap between intervention design, delivery, and social change.