Professor Paul Reynolds said in a speech that entrepreneurs quickly learn how to tell the polished stories about their journeys when they are asked by researchers and journalists about what they have done and achieved. The notion of polished stories is also recognized byWilliam Gartner (2007) in a special issue on narrative, reflecting upon the fact that he can name dozens of entrepreneurs, and he has several logico-scientific descriptions, explanations, categories, concepts and hypotheses about entrepreneurs, but he cannot say much about their stories. Consequently, it has been argued that the field of entrepreneurship studies needs new concepts if it is to take seriously the ambition to understand entrepreneurs, entrepreneurship and entrepreneuring (e.g. Hjorth et al., 2003; Johannisson, 2011; Steyaert, 2007; Gartner, 2007; Huse and Landström, 1997). In this chapter we will show how entrepreneurship and small and medium-sized enterprises (SMEs) can be researched through the ethnographic method, focusing on understanding the social context of a certain phenomenon or person. Specifically, four ethnographic studies are introduced, which will be discussed as themes: context; the role of the researcher; the research process; and lessons learned.