This paper discusses the methodological and logistical complexities that underpin multi‐method, multi‐sited, multi‐phased research with vulnerable communities. The project on which we draw was a 3‐year Australian government‐funded, longitudinal and cross‐sectional exploration of students from refugee backgrounds (SfRBs) as they moved into, through and out of higher education from three different contexts, educational pathways and localities in Australia. While all students entering and participating in higher education may experience challenges, for SfRBs these are compounded by their linguistic and cultural diversity, instability, possible trauma and disrupted schooling. In the project presented in this article, these complexities and their relationships with transitions to higher education were captured through diverse methods and methodologies at three research sites, including longitudinal research with repeat interviews and cross‐sectional, explorative methods. The opportunities provided by this methodological approach far outweighed the ethical and practical difficulties navigated by each of the research teams. The ‘thick’ data produced through prolonged and repeat engagements with a small cohort of participants at one site were made richer through explorations of differing social and geographical contexts across all three sites. Further, our collective interpretations of the data were made more robust through the reciprocity and reflexivity inherent in ethically researching with (not on) SfRBs and through multiple cross‐site research team interactions.