Executive Summary Objectives: Engagement between academic researchers and policymakers is becoming increasingly common. Although approaches to the so-called Science-Policy Interface (SPI) can vary substantially based on disciplines, different degrees of engagement and focus on research co-production, there are some common challenges and opportunities which this paper discusses. Analytic/Methodological Approach: We draw on the experience of four academic policy fellowships with the Welsh Government (WG) running in 2021-2023; we explore the different roles social sciences researchers can play working with governments, and how these map onto different research phases and user needs. Our discussion builds on established SPI literature to reflect on how policy fellowships can offer a platform for deeper and fully-fledged SPI focused on co-production. Key Findings: We find that policy fellowships can be effective mechanisms to embed research and research co-production in policymaking. These schemes are highly variable but present some common challenges and opportunities. In particular, while they enable researchers to have deeper insights into government working, it is important to have a clear communication about reciprocal expectations and need when defining the focus and scope of the research. Furthermore, policy fellows can be exposed to organisational challenges, such as high job turnover. Clearly aligning research projects conducted by fellows to overarching organisational priorities can help overcoming some of these challenges. Conclusions: As policy fellowships can vary substantially even within the same scheme, the fellowship holder has the opportunity to negotiate and define their roles within the host organisations to match the research needs and maximise research impact. We also identify new challenges that policy fellowships can bring about for academic researchers engaging in extensive SPI projects and call for the SPI community (funders, research institutions and host organisations) to openly discuss how to best support researchers pursuing a SPI-focussed career.