In nutritional research, a specific issue is about understanding how to provide a clear and solid proof of the health effects of each functional food. The problems range from regulatory perspectives down to very basic methodological issues. In addition, when multi-functionality comes into play, then several additional problems are posed in terms of the methodological appropriateness of research done. In this review, a focus is provided on some methodological issues related to (i) the general concepts of 'proving' effects in a methodological perspective and (ii) the difficulties of specifically proving functional effects of food. A specific attention is dedicated on the characteristic problems which, from a methodological perspective, arise when multi-functionality is the matter of the proof.