In turbulent business environment, executives’ cognition plays an important role in their understanding and the process of decision making. Cognitive map helps the senior executives in their thought process. The construction of information-based cognitive map, however, is a wicked problem, which could hardly be tackled by hard systems methodologies. Design science provides a good solution. This paper puts forward a research methodology, which is divided into six activities, to build up an information systems (IS) based cognitive map for cognitive decision support. The methodology is demonstrated by a case study of a Chinese steel company’s strategic decision making.