This chapter analyses challenges in exploring the conceptions of knowledge and knowing. It firstly introduces empirical methods that have been applied to investigate individuals’ conceptions of knowledge. After that, the chapter elaborates methodological and theoretical challenges related to this issue based on current research. Finally, conclusions and methodological recommendations for further studies are presented. Although this chapter focuses especially on research of university students, our broader aim is to demonstrate the methodological and theoretical challenges from the perspective of developmental and educational psychology more generally.