The authors propose the use of experience sampling methodology (ESM) as an innovative methodological approach to address critical questions in entrepreneurship research. ESM requires participants to provide reports of their thoughts, feelings, and behaviors at multiple times across situations as they happen in the natural environment. Thus, ESM allows researchers to capture dynamic person-by-situation interactions as well as between- and within-person processes, improve the ecological validity of results, and minimize retrospective biases. The authors provide a step-by-step description of how to design and implement ESM studies beginning with research design and ending with data analysis, and including issues of implementation such as time and resources needed, participant recruitment and orientation, signaling procedures, and the use of computerized devices and wireless technologies. The authors also describe a cell phone ESM protocol that enables researchers to monitor and interact with participants in real time, reduces costs, expedites data entry, and increases convenience. Finally, the authors discuss implications of ESMbased research for entrepreneurs, business incubators, and entrepreneurship educators.