Recent calls have been made to investigate the lived experience of migrant sex workers, to broaden the scope and inclusivity of macro-level conceptualizations, and to develop contextually grounded forms of understanding. Our ethnographic study sought to explore the lived perspectives of an under-researched occupational group: migrant women working as irregular streetwalkers in a European city. Nineteen Nigerian Edo women working as prostitutes and Madams in Spain participated in an ethnographic, longitudinal study spanning five years of data collection. In this article, we focus on some of the key challenges, including ethical considerations, of undertaking ethnographic work in a hazardous fieldwork setting that presents psychological and physical dangers to both participants and researchers, including threats of violence, and researcher burnout.