Aim This paper will explore the issues raised by the pilot stage of a three-round Delphi study. Background The Delphi method involves a range of complex activity for the expert panellists and the researcher and yet there is a lack of debate in the academic literature about how Delphi research should be piloted. Data sources A Delphi study aimed at establishing areas of agreement between service users and registered nurses about therapeutic nursing on acute mental health wards. A pilot Delphi study tested the first-round questions, the use of two measurement approaches and the process of analysis and administration across three rounds. Review methods A brief review of published Delphi pilot studies in health care between 2001 and 2011; ten of 25 relevant papers are included here. Discussion Approaches to pilot tests for the Delphi method are discussed. Conclusion Delphi researchers should publish greater detail about their approach to pilot studies. Pilot Delphi studies can support the development of first round questions but also offer a means to test measurement methods and define consensus in subsequent rounds. Implications for research/practice Pilot studies in Delphi research provide useful guidance about first-round questions as well as measurement methods, consensus thresholds and controlled feedback in subsequent rounds. They support the involvement of professionals and service users and they need to trial the recruitment strategy to avoid between-round delays. Delphi researchers should publish details of their approach to pilot studies.