During mRNA transcription, diverse RNA-binding proteins (RBPs) are recruited to RNA polymerase II (RNAP II) transcription machinery. These RBPs bind to distinct sites of nascent RNA to co-transcriptionally operate mRNA processing. Recent studies have revealed a close relationship between transcription and co-transcriptional RNA processing, where one affects the other’s activity, indicating an essential role of protein–RNA interactions for the fine-tuning of mRNA production. Owing to their limited amount in cells, the detection of protein–RNA interactions specifically assembled on the transcribing RNAP II machinery still remains challenging. Currently, cross-linking and immunoprecipitation (CLIP) has become a standard method to detect in vivo protein–RNA interactions, although it requires a large amount of input materials. Several improved methods, such as infrared-CLIP (irCLIP), enhanced CLIP (eCLIP), and target RNA immunoprecipitation (tRIP), have shown remarkable enhancements in the detection efficiency. Furthermore, the utilization of an RNA editing mechanism or proximity labeling strategy has achieved the detection of faint protein–RNA interactions in cells without depending on crosslinking. This review aims to explore various methods being developed to detect endogenous protein–RNA interaction sites and discusses how they may be applied to the analysis of co-transcriptional RNA processing.