An often-ignored Humean contribution to Scottish Enlightenment is ‘conjectural history’, an eighteenth-century historical genre that attempted to trace the origins and development of particular institutions from prehistory to modernity. But conjectural methodology prevented histories from establishing any facts. What was then its point? I propose a way to justify Hume's practice of conjectural history by appealing to his scattered comments on historical explanation. Conjectural histories explain the origin of modern institutions by offering the rationale that must have caused their emergence and stability and that justifies their current approbation, providing the reader with means for understanding and criticism.