Oh, man, I wish we had real proof and solid evidence. I swear, this profession is 75% bullsh!t, loosely held together with hard science.
The thing is, humans are so ridiculously complicated that there's always room for interpretation of our actions. It's hard to really suss out why any single person is doing what they do; that's why psychoanalysis and the self-help industry are so big. It's that much harder with a large group, particularly if you're in archaeology, one of the subfields of anthropology (at least in the US; the Brits do things weird).
If you have any doubt, just look at some of the big debates. For instance, Margaret Mead talked to young women in somewhere or another and developed her theory of gender as a social structure based on those interviews. Apparently, those young ladies were much freer in their sexuality than Western women were at the time. More recently, those girls, now adults, were interviewed again and claimed that they were chaste as youngsters. Now, what's the right interpretation here? Who did they lie to, and why? In the intervening years, their group was exposed to Christianity and other western ideas, so it would make sense to say that they lied in their old age to make themselves look better in light of Western and Christian morals. On the other hand, maybe as girls, they were trying to make themselves look experienced and adult. Or there could be ten thousand other variables that caused their stories to change over the years.
It's even worse in my own subfield, archaeology. At least the cultural anthropologists get to directly observe their culture. In archaeology, any attempt to explain any more of a culture besides when they lived, where they lived, and what they ate is little more than guesswork. There's evidence, sure, but not very much, and it can be interpreted in so many ways. Is a doll buried under the floor of a house a toy forgotten and left on a building site, a piece of magic (and then is it for protection or harm?), or a kid playing around? Maybe it's a ritual thing, maybe it's part of a time capsule. It's hard to say without talking to whoever left it there.