This article proposes a theoretical model for understanding foreign policy formation and change, especially regarding alliances and what might be called “balancing” foreign policy behavior. The article combines a realist focus on power with the perceptions of actors based on their experiences and the lessons they draw from them. When uncertainty about threat level is high, the “lessons” that actors or groups draw from the past play an indispensable role in helping them make sense of the world. The model is applied to the case of Denmark's decision to join the North Atlantic Treaty Organization (NATO) in 1949, which was arguably the most significant shift in Danish foreign policy of the twentieth century. The model explains why Danish officials decided to joined NATO only after the Scandinavian Defense Union had failed.