Studies into the association of social media use with mental health are largely based on measures of time spent on social media. The small and inconsistent results in these studies may be due to a lack of explanatory power of time-based measures. Data Download Packages (DDPs), the archives of social media platforms that each user is allowed to download, provide a new and promising method to collect content-based information about social media use. In this study, we discuss the promises and pitfalls of DDPs based on an exploratory analysis of 110 Instagram DDPs gathered from 102 adolescents. DDPs provide tremendous opportunities to get insight in the frequency, range, and content of social media activities, from browsing to searching and posting. Yet, the method is also complex and laborious and demands numerous procedural and analytical choices and decisions. Moreover, due to several factors unique to social media interactions, automated content analysis may be challenging. We successively discuss the challenges and opportunities of collecting and analyzing DDPs to help future researchers in their consideration of whether and how to use DDPs.