The gig economy is a phenomenon that is rapidly expanding, redefining the nature of work and contributing to a significant change in how contemporary economies are organised. Its expansion is not unproblematic. This article provides a clear and systematic analysis of the main ethical challenges caused by the gig economy. Following a brief overview of the gig economy, its scope and scale, we map the key ethical problems that it gives rise to, as they are discussed in the relevant literature. We map them onto three categories: the new organisation of work (what is done), the new nature of work (how it is done), and the new status of workers (who does it). We then evaluate a recent initiative from the EU that seeks to address the challenges of the gig economy. The 2019 report of the European High-Level Expert Group on the Impact of the Digital Transformation on EU Labour Markets is a positive step in the right direction. However, we argue that ethical concerns relating to algorithmic systems as mechanisms of control, and the discrimination, exclusion and disconnectedness faced by gig workers require further deliberation and policy response. A brief conclusion completes the analysis. The appendix presents the methodology underpinning our literature review.