The Idea is, that Pinky is in fact, a genius who lives with the insane Brain to keep him in check and to make sure he doesn't do anything too dangerous. There is a good amount of evidence to support this in the show.
We see a few examples, starting with the introduction song. There is a line that goes, "One is a genius, the other is insane, pinky and the brain." We already see a few hints from this. During the course of the show, there is never a question that pinky is not insane. An imbecile? Most certainly, but we never have a reason to believe he is insane. On the other hand, Brain is clearly insane - he is constantly trying to devise ways to take over the world. If Brain is infact insane, this leaves pinky to be, well, the genius
The biggest piece of evidence however, comes from an episode where Brain creates a machine to make Pinky smart. Pinky steps into it and begins to massively outsmart Brain - winning game shows, correcting him, and at the end of the episode - He shows how Brain's machine is inherently flawed and doesn't work at all. Almost immediately afterwords he returns to his bumbling self.
The begs the obvious question - if the machine never worked, how was Pinky so smart, and able to actually point out this design error? Simple, he is infact the genius.
Finally, there's the fact that Brain's inventions almost never work - they blow up in his face, and when they do work, they are sabotaged by none other than Pinky.
There's several more examples within the show, but when you look at the whole it becomes very convincing, that Brain is in fact being watched by Pinky, who is playing off the whole affair.
Borrowed from Ginnex on Reddit.com