The ubiquitous use of social platforms across the globe makes them attractive options for investigating social phenomena including migration. However, the use of social media data raises several crucial ethical issues around the areas of informed consent, anonymity and profiling of individuals, which are particularly sensitive when looking at a population such as migrants, which is often considered as ‘vulnerable’. In this paper, we discuss how the opportunities and challenges related to social media research in the context of migration impact on the development of large-scale scientific projects. Building on the EU-funded research project PERCEPTIONS, we explore the concrete challenges experienced in such projects regarding profiling, informed consent, bias, data sharing and ethical approval procedures, as well as the strategies used to mitigate them. We draw from lessons learned in this project to discuss implications and recommendations to researchers, funders and university ethics review panels. This paper contributes to the growing discussion on the ethical challenges associated with big social data research projects on migration by highlighting concrete aspects stakeholders should be looking for and questioning when involved in such large-scale scientific projects where collaboration, data sharing and transformation and practicalities are of importance.