This article examines the ethical dilemmas that are specific to qualitative research methodology. These dilemmas concern the issues of withdrawal from the study, anonymity and confidentiality, which are discussed. Each aspect examines how it was dealt with using the researcher's reflections. The research was positioned within an interpretive paradigm and used the small scale qualitative research design in one rural and one urban contexts of Lesotho. Purposive and snowball sampling were used to select the participants from the larger population. Using a semi-structured interview guide, participants were interviewed individually while others were engaged in focus group discussions. A lesson learnt is that ethics in methodology, when conducting research in an African context, do not always follow what is proposed in the Western literature. It is recommended that a context should be considered when applying ethics in qualitative research studies in Africa since some ethics in research are context-specific.