The increasing interest in mobilities among social scientists over the past two decades has generated new research approaches to deepen the understanding of people’s diverse movements. These methods have focused on capturing research participants’ mobilities, but also led to new ways of thinking about researchers’ mobilities as a strategy to collect data. In this paper, we explore the relationship between researchers and research participants’ mobilities through the idea of ‘following’. Drawing on insights from the Moving Marketplaces research project on eight markets in the Netherlands, Spain, Switzerland and the UK, we highlight the lack of beginnings and endings of following. This leads us to a reflection on what to actually follow as well as an analysis of the doings of following. This paper examines some of the unexplored terrains in the conceptual and methodological debate around following and argues that it is essential to reflexively engage with the implications and practicalities of this approach. We argue that it is more productive to regard following not only as the physical process of following people, objects, knowledge, etc., but also as a theoretical and methodological openness that embraces and articulates the dynamic and non-linear character of ethnographic research practices.