Scenarios are established as a popular management tool to deal with the uncertainty of the future. While prior research has investigated best practices and offered guidance on how to conduct scenarios exercises, insights from the literature on future-making practices suggest that further research is needed to understand the role of scenarios in establishing different dominant ways to engage with the future. Combining these insights with findings from the literature on management tools, we adopt a pragmatic approach to scenarios and examine them as future-making instruments. Building on the analysis of a set of policy scenarios produced by RAND Europe and semi directed interviews with their authors, we investigate the matter of scenarios (what are scenarios made of?) and their effects (what forms of futures do they produce?). Our analysis showed that scenarios are made of specific narrative, calculative, and organizational features that are enacted to produce futures built on particular framings of key notions such as ‘plausibility’ and ‘complexity’. These framings entail modes of engagement with the future that pertain to the regimes of justification and planning rather than exploration. As such, we suggest that future images and properties of scenarios recursively build their present interpretative context through an exploratory oscillation.