This article elaborates a new direction for studying the construction of novel strategies that enables researchers to model the conceptual underpinnings of students' observable strategic actions during episodes of mathematical problem solving. The nature of the relationship between conceptual and procedural knowledge has been persistently debated for decades. Recently, there has been mounting empirical evidence that conceptual and procedural knowledge can develop by mutual bootstrapping in a bidirectional and iterative fashion (e.g., Rittle-Johnson & Schneider, 2014). However, the very constructs of conceptual and procedural knowledge (especially procedural knowledge) have been critiqued for inconsistency in definition and lack of operationalization (Star, 2007). The analysis in this article addresses this critique by modeling the diverse forms of conceptual and procedural knowledge needed to implement a strategy as a complex knowledge system: a strategy system. Furthermore, the strategy system model is used to elaborate processes of mutual bootstrapping between conceptual and procedural knowledge at a moment-by-moment time scale. The strategy system model builds upon the Knowledge in Pieces epistemological perspective (diSessa, 1993), and coordination class theory in particular (diSessa & Wagner, 2005). Both the theoretical notion of a strategy system and the bidirectional model of mutual bootstrapping between conceptual and procedural knowledge are illustrated using data from a case study of a pre-algebra student who iteratively refined a procedure for solving algebra word problems. The strategy system model highlights the complexity of both strategies and concepts and offers a window into what can be learned by students during strategy construction processes.