Amid growing enthusiasm for a ”new urban science” and ”smart city” approaches to urban management, ”big data” is expected to create radical new opportunities for urban research and practice. Meanwhile, anthropologists, sociologists, and human geographers, among others, generate highly contextualized and nuanced data, sometimes referred to as ‘thick data,’ that can potentially complement, refine and calibrate big data analytics while generating new interpretations of the city through diverse forms of reasoning. While researchers in a range of fields have begun to consider such questions, scholars of urban affairs have not yet engaged in these discussions. The article explores how ethnographic research could be reconciled with big data-driven inquiry into urban phenomena. We orient our critical reflections around an illustrative example: road safety in Mexico City. We argue that big and thick data can be reconciled in and through three stages of the research process: research formulation, data collection and analysis, and research output and knowledge representation.