This article draws on the two authors’ extensive fieldwork experiences in studying Chinese feminists and lawyers on social media to offer some thoughts on how to conduct qualitative research in the digitalized world. We argue that qualitative methods such as participation observation, in-depth interview, and textual analysis can provide thick descriptions and deep, localized knowledge of social processes that go far beyond the sketches of Big Data. Social science data collection and analysis on social media need not only Big Data’s bird’s-eye view, but also the day-to-day ethnographic immersion—“living on the sites” and interacting with research subjects over a long period of time. The rise of social media has not changed the basic principles of doing ethnography, such as the importance of immersion and reflexivity. Nevertheless, ethnography of online groups presents new challenges and opportunities in terms of accessing field sites, analyzing ethnographic data, and research ethics.