There are important disparities in health outcomes between racial/ethnic minorities and majorities in all countries where minority health has been investigated. This holds true for the largest minority population of Europe, the Roma, although research data related to Roma are scarcer and more contested than for other minorities. We discuss major obstacles that hinder or prevent the collection of reliable data in Roma and other minorities. The definitions and classification systems on race/ethnicity vary widely, pointing to the social construction of both race and ethnicity. Imprecision in taxonomy and definition of target groups is compounded by challenges in data collection, analysis, and interpretation, along with ethnocentricity that shapes the perspectives and approaches of the researchers. However, administrative data collection on race/ethnicity serves legitimate purposes although such data must comply with less-stringent quality requirements as opposed to data meant for scientific analysis. Research on minorities should consider race/ethnicity as proxy indicators of complex health determinants, and should aim at dissecting these determinants into separate items. Careful documentation of methodology and active involvement of the minorities themselves can increase trust between the investigators and the research subjects, which can in turn improve research on minority health.