Sex work is one of the most stigmatised professions in many parts of the world. In Kenya, where it is also illegal, sex workers can even face rape and abuse at the hands of law enforcement agents when it becomes known how they earn a living. As a result, sex workers rarely disclose their profession to family members, let alone outsiders. This means that the involvement of Kenyan sex workers in research over the years has been highly risky, as most research efforts collect personal data. This chapter describes a four-stage investigation into how sex workers define vulnerability for themselves. The approach was community-driven, community-led and, in the main, community-analysed. Importantly, no personal data was collected, and all engagement was undertaken by trusted facilitators and a sex worker community researcher. Findings showed that structural vulnerabilities are intersectional and stigma-aggravated. At the root may be poverty, but the stress created by being stigmatised can lead to mental health problems which, in turn, can aggravate poverty and stigma. The Kiswahili term mnyonge may capture the essence of vulnerability, expressing a sense of weakness without the ability to defend oneself.