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The mid-sole
mid-sole picture

In order for a shoe to support the foot it must have a rigid mid-sole that resists torque. A soft spongy mid-sole, like the one below won't help reduce over pronation so it can't offer the foot much support.

shoe being twisted

Check your shoe! Grab the shoe by the ball of the foot and the heel and twist it as if you were trying to wring water out of it. If it twists up, like in the example above, then no matter what other support elements it may have the shoe probably isn't going to give your feet much support. If you are experiencing or commonly experience foot, ankle or knee problems then you should consider trying a shoe with a more rigid mid sole.
Look under the insole
insole animation Look under the insole to get a better idea of how a shoe will perform. To do this you must first remove the insole. Most quality athletic and casual shoes have removable insoles that pull right out. If the insole is glued in place then don't force it out, just see if you can peel a little of the side edge back enough to take a peek at what is underneath.
look for texon cardboard
One of the most fundamental and effective methods of firming up a mid-sole and adding support to a shoe is to use a Texon cardboard shoe liner. Texon cardboard is a cross between regular cardboard and particle pressboard. Even thin sheets of Texon are light, tough and very firm. Almost every shoe company uses Texon but not in every shoe they make.
shoe with Texon cardboard liner
shoe with no Texon cardboard liner
This shoe has a 3/4 length, yellowish Texon cardboard liner.
If you can see the stitching on the bottom of the shoe then it has no liner.
To see if a shoe uses a Texon cardboard liner first remove the insole then look inside at the bottom of the shoe. If the shoe uses Texon, you will see a pinkish to yellowish colored Texon board glued to the bottom of the shoe. In most shoes, either athletic or casual the board liner runs 3/4 of the length of the shoe, usually from the heel to the ball of the foot. In outdoor shoes and hiking boots it is not uncommon to see the Texon board liner run the full length of the shoe.
Replace shoes when the mid-sole breaks down
One thing that happens to shoes as they accumulate mileage is that the mid-sole breaks down and loses rigidity. This translates into a loss of support and an increase in the likely hood of discomfort and/or injury. Even shoes with dense, hard mid-soles and Texon board liners will eventually break down. In the end all shoes wind up flexible (and twistable) like the one in the picture at the top of the page. Check your shoes from time to time to see how much support is left. Replace shoes when you can twist them with both hands. This is a very reliable method for checking the amount of wear and tear on a shoe. Remember that shoes only wear out if they are used. Shoes that sit in the closet for years generally maintain their support.