Conducting violence and mental health research during the COVID-19 pandemic with vulnerable groups such as female sex workers (FSWs) required care to ensure that participants and the research team were not harmed. Potential risks and harm avoidance needed to be considered as well as ensuring data reliability. In March 2020, COVID-19 restrictions were imposed in Kenya during follow-up data collection for the Maisha Fiti study (n = 1003); hence data collection was paused. In June 2020, the study clinic was re-opened after consultations with violence and mental health experts and the FSW community. Between June 2020 and January 2021, data were collected in person and remotely following ethical procedures. A total of 885/1003 (88.2%) FSWs participated in the follow-up behavioural-biological survey and 47/47 (100%) participated in the qualitative in-depth interviews. A total of 26/885 (2.9%) quantitative surveys and 3/47 (6.4%) qualitative interviews were conducted remotely. Researching sensitive topics like sex work, violence, and mental health must guarantee study participants' safety and privacy. Collecting data at the height of COVID-19 was crucial in understanding the relationships between the COVID-19 pandemic, violence against women, and mental health. Relationships established with study participants during the baseline survey-before the pandemic-enabled us to complete data collection. In this paper, we discuss key issues involved in undertaking violence and mental health research with a vulnerable population such as FSWs during a pandemic. Lessons learned could be useful to others researching sensitive topics such as violence and mental health with vulnerable populations.