This article reflects on some of the qualities and strengths, as well as some potential weaknesses, of a research methodology used to study ‘hard-to-reach’ groups, such as the undocumented. This approach, known as the PEER (Participatory Ethnographic Evaluation and Research) approach, is introduced in terms of its key elements of trust, anonymity, in-depth data and flexibility. Its suitability for sensitive, or ‘liminal’ research issues, involving groups of vulnerable informants, is explained. The method is based on relations of trust, which are maintained through anonymity in data collection, and extend from social researchers to informants, through the intermediation of trained community-based peer researchers. It is they who interview others in their own social networks; since trust is the key ingredient in making this ethically-informed methodology work well, trust must be invested also in the peer researchers, who form part of the research team.