Archives are not comprehensive, especially as you get farther back in time, or study areas with poor administrative systems. There can only be so much archival material as was created, and has survived to this point. Fires, humidity, poor paper quality, wars, and simply misplacing documents can and have created holes in archival records. Some time periods and regions will simply not have the archival records of others, and so historians have had to think creatively about what other sources could be used to fill in the gaps.

Nor are archives foolproof. Archives were not, generally, created so that future scholars could look through them and write history. They were created to keep records with concrete and contemporary reasons for existing. And they were put together by fallible people, who had biases and made mistakes. You have to keep in mind why the archive was created- these are not simply documents that exist in an academic vacuum.

And one of the greatest limitations will always be that archives were necessarily created by those in power, who had the power to do so. The voices of the subaltern can be difficult to hear, but sometimes the ramblings of some pompous colonial official will be the only way to learn about the unique cultural group he subjugated.

But these are the sources that exist. All credible historic research has come from some source written or otherwise created (artifacts, monuments, oral histories) in the past, otherwise it is just guesswork.

Some suggestions for reading, from historians who discuss their source base and process as part of their book:

The Allure of the Archives- Arlette Farge

Dancing with Strangers- Inga Clendinnen

Into the Archive: Writing and Power in Colonial Peru- Kathryn Burns

The Night Battles: Carlo Ginzburg

I agree with Grombrindal. I would also add the modern problem of archival overload. Modern bureaucracy produces so much paperwork that no one can read it all. One of the reasons that David Irving kept going so long was that it was so much work to disprove him footnote by footnote. In the end Richard Evans was commissioned by Penguin to do exactly that for the Lipstadt libel case.

There is also a selection bias in what files are kept. I came across a big folder of fire inspection reports for Northern Irish cinemas which had a lot of information on attendances and social attitudes. It had been marked "of no historical value" by a civil servant. Presumably because there was no political material.

Richard Evans, Lying about Hitler