  Potassium-doped picene (K$_x$picene) has recently been reported to be a
superconductor at $x=3$ with critical temperatures up to 18 K. Here we study
the electronic structure of K-doped picene films by photoelectron spectroscopy
and {\it ab initio} density functional theory combined with dynamical
mean-field theory (DFT+DMFT). Experimentally we observe that, except for
spurious spectral weight due to the lack of a homogeneous chemical potential at
low K-concentrations ($x \approx 1$), the spectra always display a finite
energy gap. This result is supported by our DFT+DMFT calculations which provide
clear evidence that K$_x$picene is a Mott insulator for integer doping
concentrations $x=1$, 2, and 3. We discuss various scenarios to understand the
discrepancies with previous reports of superconductivity and metallic behavior.
