This case study provides an overview of the experience of conducting walking interviews with migrant and refugee young people in Sydney, Australia, and the associated ethical considerations of employing this method to elicit rich data on their views of different sexual and reproductive health services. The particular research method presented here formed one part of a PhD study that explored the complexities and opportunities for engaging young people from migrant and refugee backgrounds with sexual and reproductive health care. Limited research has focused on this population, their sexual and reproductive health experiences, and service needs. To investigate this, three “rounds” of interviews were undertaken with migrant and refugee young people: a first interview, a follow-up interview, and walking interviews, the latter of which is the focus of this case study. We provide a brief overview of the doctoral research and roles of the research team, outline the rationale for using the walking interview method, and describe how it was implemented. We then discuss some of the associated ethical considerations, including gaining ethics approvals, particular deliberations regarding research with migrant and refugee young people, reciprocal benefits, ensuring voluntary participation, maintaining confidentiality, and building trust and rapport. Strategies used to enhance the research process, manage ethical risks, and promote good ethical conduct are included as part of this discussion. The case study concludes with some “lessons learned” for using the walking interview method.