Mentoring is a highly personal and individual process, in which mentees take advantage of expertise and experience to expand their knowledge and to achieve individual goals. The emerging use of AI in mentoring processes in higher education not only necessitates the adherence to applicable laws and regulations (e.g., relating to data protection and non-discrimination) but further requires a thorough understanding of ethical norms, guidelines, and unresolved issues (e.g., integrity of data, safety, and security of systems, and confidentiality, avoiding bias, insuring trust in and transparency of algorithms). Mentoring in Higher Education requires one of the highest degrees of trust, openness, and social–emotional support, as much is at the stake for mentees, especially their academic attainment, career options, and future life choices. However, ethical compromises seem to be common when digital systems are introduced, and the underlying ethical questions in AI-supported mentoring are still insufficiently addressed in research, development, and application. One of the challenges is to strive for privacy and data economy on the one hand, while Big Data is the prerequisite of AI-supported environments on the other hand. How can ethical norms and general guidelines of AIED be respected in complex digital mentoring processes? This article strives to start a discourse on the relevant ethical questions and in this way raise awareness for the ethical development and use of future data-driven, AI-supported mentoring environments in higher education.