Agency is considered an essential but understudied factor in processes of regional structural change. However, investigating agency systematically and at the micro-level, comes with a great deal of challenges. What are these challenges and how can they be addressed? In effort to combine general methodological considerations with concrete empirical practicalities, we share our process of developing an adequate methodology for the ReGrow (Regional Growth Against All Odds) project in which we conduct twelve comparative in-depth case studies on the role of agency in regional development. We identified seven methodological challenges regarding ontology, research design, time periods, spatial scales, research instruments, data collection and analysis. In this chapter we discuss these challenges as well as our strategies to overcome them. In doing so, we provide methodological insights and guidance to other scholars of agency in regional development.