In recent years, the field of neuroscience has gone through rapid experimental advances and a significant increase in the use of quantitative and computational methods. This growth has created a need for clearer analyses of the theory and modeling approaches used in the field. This issue is particularly complex in neuroscience because the field studies phenomena that cross a wide range of scales and often require consideration at varying degrees of abstraction, from precise biophysical interactions to the computations they implement. We argue that a pragmatic perspective of science, in which descriptive, mechanistic, and normative models and theories each play a distinct role in defining and bridging levels of abstraction, will facilitate neuroscientific practice. This analysis leads to methodological suggestions, including selecting a level of abstraction that is appropriate for a given problem, identifying transfer functions to connect models and data, and the use of models themselves as a form of experiment.