We present a theory of periodically driven, many-body localized (MBL) systems. We argue that MBL persists under periodic driving at high enough driving frequency: The Floquet operator (evolution operator over one driving period) can be represented as an exponential of an effective time-independent Hamiltonian, which is a sum of quasi-local terms and is itself fully MBL. We derive this result by constructing a sequence of canonical transformations to remove the time-dependence from the original Hamiltonian. When the driving evolves smoothly in time, the theory can be sharpened by estimating the probability of adiabatic Landau–Zener transitions at many-body level crossings. In all cases, we argue that there is delocalization at sufficiently low frequency. We propose a phase diagram of driven MBL systems.