Linked survey and Twitter data present an unprecedented opportunity for social scientific analysis, but the ethical implications for such work are complex—requiring a deeper understanding of the nature and composition of Twitter data to fully appreciate the risks of disclosure and harm to participants. In this article, we draw on our experience of three recent linked data studies, briefly discussing the background research on data linkage and the complications around ensuring informed consent. Particular attention is paid to the vast array of data available from Twitter and in what manner it might be disclosive. In light of this, the issues of maintaining security, minimizing risk, archiving, and reuse are applied to linked Twitter and survey data. In conclusion, we reflect on how our ability to collect and work with Twitter data has outpaced our technical understandings of how the data are constituted and observe that understanding one’s data is an essential prerequisite for ensuring best ethical practice.