Solving of philosophical problems linked with the construction of a scientific theory made an important part of Einstein’s productive activity. A scientific theory in his understanding contains three levels. The first level represents a system of axioms, the second level contains theorems deduced from axioms according to logical rules of deduction, the third level is the sum of immediate sense data. Also his “method of the theoretical physicist”, consisting of three steps shows analogy to this structure. In the first and most difficult step a system of axioms is sought, in the second one propositions are deduced from axioms and in the third one these propositions are confronted with experience. The substantiation of Einstein’s structure of a scientific theory reflects his own understanding of theory of knowledge in which he attempts at demarcation of Competence of reason and experience. Sharp separating between the world of reason and the world of experience leads him to some seemingly controversal statements. It appears mainly in his opinions on the character and origin of scientific concepts. The contradictional and paradoxical character of his statements is weakened and may be understood correctly if these statements are analyzed from the stand-point of his own view of the world which in itself represents a logically coherent system.