Electroencephalography (EEG) has been instrumental in making discoveries about cognition, brain function, and dysfunction. However, where do EEG signals come from and what do they mean? The purpose of this paper is to argue that we know shockingly little about the answer to this question, to highlight what we do know, how important the answers are, and how modern neuroscience technologies that allow us to measure and manipulate neural circuits with high spatiotemporal accuracy might finally bring us some answers. Neural oscillations are perhaps the best feature of EEG to use as anchors because oscillations are observed and are studied at multiple spatiotemporal scales of the brain, in multiple species, and are widely implicated in cognition and in neural computations.