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Conducting clinical research during a 2-year critical care fellowship is a challenging endeavor. Fellows are often met with multiple barriers when considering clinical research projects during fellowship, including time, mentorship, resources, and clinical support. This paper presents the perspective and experiences of a group of critical care fellows who conducted the DRIVE-SAFE (Driving Pressure in Assisted Ventilation as a Predictor for Successful Liberation from Invasive Mechanical Ventilation) feasibility study, which aimed to determine measurable physiological variables that could be associated with lung injury and affect duration of mechanical ventilation. This paper provides a guide for trainees on how to conduct prospective clinical research at the bedside. We describe three key steps, including formulating a research question, developing appropriate methodology, and establishing outcomes. We also present the challenges that trainees may encounter when conducting prospective studies and how to overcome these challenges with proper mentorship, training, and collaboration with key stakeholders. These perspectives may provide useful guidance for current and future trainees interested in conducting prospective clinical research at the bedside.