In this paper we address the ethics of adopting delusional beliefs and we apply consequentialist and deontological considerations to the epistemic evaluation of delusions. Delusions are characterised by their epistemic shortcomings and they are often defined as false and irrational beliefs. Despite this, when agents are overwhelmed by negative emotions due to the effects of trauma or previous adversities, or when they are subject to anxiety and stress as a result of hypersalient experience, the adoption of a delusional belief can prevent a serious epistemic harm from occurring. For instance, delusions can allow agents to remain in touch with their environment overcoming the disruptive effect of negative emotions and anxiety. Moreover, agents are not blameworthy for adopting their delusions if their ability to believe otherwise is compromised. There is evidence suggesting that no evidence-related action that would counterfactually lead them to believe otherwise is typically available to them. The lack of ability to believe otherwise, together with some other conditions, implies that the agents are not blameworthy for their delusions. The examination of the epistemic status of delusions prompts us to (1) acknowledge the complexity and contextual nature of epistemic evaluation, (2) establish connections between consequentialist and deontological frameworks in epistemology, and (3) introduce the notion of epistemic innocence into the vocabulary of epistemic evaluation.