The anthropology of security is slowly developing into a substantial sub-discipline of anthropology, yet there are only a few works that elaborate on how the research on security is conducted, what ethical issues emerge in this process, and how this differs from research on other topics due to the sensitive, political, and highly controversial nature of security itself. In this paper, we aim to contribute to this scholarly debate by providing a reflexive account of some of our experiences in researching security across various cases and sites. More specifically, we aim to flesh out the ethical dimensions that, we argue, are inherent to any analysis of security. We do so by focusing on two issues, namely, how we do research (including methods and access to the field site) and how we can or are expected to share our research findings (including public engagement and access to data). By drawing from our own experiences, we aim to show that these are complex matters that underline the sensitive nature of security and call for further empirical and theoretical elaboration.