This paper reports on an evaluation of a national action learning set for health policy managers from three Australian state/territory health authorities, conducted during 2010–2011. We collected and analysed qualitative data about the major problems the participants encountered in their work, their experiences of the learning set and their perceptions of the outcomes. The predominant concerns of participants were ‘wicked problems’ in four areas: managing the environment, managing the policy process, managing the self and managing the policy team. Participants reported that the learning set had assisted them to gain greater awareness of and ability to navigate their environment, developed their judgement, strategic and problem-solving skills, contributed to empowerment and self-efficacy, and assisted them in providing support for their staff and building capacity in their organisation. Aspects of the method that contributed to learning included engaging with problems experienced by other members and discussing one’s own problems and strategies; and gaining new insight into ways of framing, analysing and responding to problems. The findings suggest that learning sets can be a powerful method for building policy capacity amongst middle-senior policy managers.