This article addresses ethical issues in the conduct of ethnographic research with vulnerable study participants, such as individuals with cognitive impairment. Seven ethical issues emerged from this case study, in which a participant diagnosed with Alzheimer's disease wished to pursue euthanasia in Switzerland: (a) How to protect the participant's autonomy while ensuring his decision had not resulted from untreated depression or modifiable social factors; (b) How to interpret self-harm; (c) How to protect the research team members' "mandated reporter" status; (d) How to counteract the attractive qualities of pro-euthanasia videos depicting an easy end to personal suffering; (e) How to find a better alternative to the common practice of reporting self-harm cases to Adult Protective Services and then removing these cases from studies; (f) How to leverage a participant's trust to address these issues; and (g) Whether researchers should do anything further to help address unmet needs in similar situations.