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Entrepreneurship is a complex field. Auto-praxiography is a self-study method that can be used to explore elements of this complexity. This article aims to explain the specific features of the method and to provide examples of how to use this methodology to contribute to the understanding of entrepreneurship. To this end, it begins by presenting the complexity related to approaching this field, before explaining auto-praxiography itself. In so doing, it presents an overview of self-study methods, describing the pragmatic constructivist epistemological paradigm (PCEP), and revealing the specific characteristics, processes, and limitations inherent to this type of method. Finally, this article refers to several examples of articles or papers that have used this method in order to explore certain elements related to entrepreneurial complexity.