Although there has been a rise in calls for participatory forms of research, there is little literature on the challenges of involving research participants in all phases of the research process. Actively involving research participants requires new strategies, new researcher and research-participant roles, and consideration of a number of ethical dilemmas. We analyzed the strategies employed and challenges encountered based on our experiences conducting feminist participatory action research with a marginalized population and a variety of community partners over 3 years. Five phases of the research process were considered including developing the research questions, building trust, collecting data, analyzing data, and communicating the results for action. Our goals were to demonstrate the relevance of a participatory approach to sport management research, while at the same time acknowledging some of the realities of engaging in this type of research.