We investigated conceptual shifts around vulnerability and ethical issues arising in research using a case study embedded within an HIV intervention project targeting adolescent girls and young women (AGYW) in a rural district, South Africa. We recruited 77 participants. Sixty-five people participated in focus group discussions (FGDs); nine in in-depth interviews (IDIs) and three in key informant interviews (KIIs). Data were analysed iteratively using thematic framework analysis. Themes were determined by the study aims and an inductive development of codes emerging from the data. We investigated ethical issues arising at the intersection between the vulnerabilities and agency experienced by research participants. Our findings show that AGYW's ability to exercise agency is dependent on the social, economic and political context. Understanding the social structures is crucial for interventions seeking to improve the health and social well-being of AGYW.