In this work I argue for the unavoidability of the sceptical challenge and I outline a way to live with scepticism instead of attempting to refute it altogether. First I elucidate the way scepticism should be understood by looking at Sextus’ Pyrrhonism as the seminal sceptical position. Here I suggest that scepticism is not a position in the usual sense, namely a thesis that can be supported or rejected with arguments. On the contrary, scepticism is an attitude, a method of enquiry that favours constant research over dogmatic conclusions. This sets the scene for a consideration of attacks on scepticism. After having considered some approaches to refute scepticism (fallibilism and contextualism) and shown that they fail primarily because they misinterpret the sceptic’s intent, I venture to consider how a sceptic might live their scepticism. Indeed, if scepticism is unavoidable, then not only the sceptic but any enquirer is presented with the challenge of finding a way to live with scepticism (or despite it). I identify in Hume the best attempt to formulate a solution that takes scepticism seriously. His standpoint is a general acceptance of scepticism. Therefore, his efforts point towards the formulation of a solution to live with it instead of dismissing it. His view, I argue, presents a combination of sceptical and naturalist elements. After having emphasised the similarities between Hume’s view and Sextus’, often underestimated by the literature, I turn to consider naturalism in more detail. In particular, I focus on the issue of normativity in a naturalistic picture of knowledge. I then conclude that Hume’s naturalism is better conceived within the context of his sceptical approach. This means that his naturalism is primarily motivated by practical–even perhaps proto-pragmatic–concerns and deliberately does not constitute a rejection or a solution to the problem of scepticism, but a way to live with it.