That's patently false for many classes of problems. We know exactly how to solve the traveling salesman problem, and have for decades, but we're nowhere close to solving a random 1000 city case (note: there are approximate methods that can find good, but not optimal, results on millions of cities). Edit: I should say 1,000,000 city problem, as there are some solutions for 30-60k cities from the 2000s.
And there are good reasons to believe that theorem finding and proof generation are at least NP-hard problems.