In this essay, I explore methodological as well as theoretical implications of an ethno-epidemiological approach, aiming to integrate research findings in mental health into new conceptual models. With this objective, I first evaluate the roots and uses of the term “ethnoepidemiology” to designate three research strategies for scientific knowledge production: type I (studies of sociocultural risk factors and ethnically defined risk groups); type II (studies of lay models of distribution and occurrence of illness in populations); type III (ethnographic studies of projects and areas of epidemiologic research). As an illustration, selected methodological features of three studies in which I have participated are presented and discussed. I then elaborate upon methodological developments derived from this experience of doing research, generating new models for transcultural transdisciplinary research of mental health practices. Lastly, I comment on some broad implications of studying mental health problems from an integrated ethnographical and epidemiological point of view, in diverse and deeply unequal societies such as those of contemporary Latin America.