Studying multifaceted risks that are simultaneously and differently perceived and experienced presents significant challenges, but gaining insight into multiple realities and rationalities is crucial for achieving effective and collaborative governance. This article describes the challenges of a recent study that looked at how different actors, ranging from smallholder farmers to international biotechnology development projects, weigh up the risks associated with the uncertain future of maize agriculture in Kenya. It presents personal reflections on a 12‐month experience of applying a multi‐sited, ethnographic research approach in Kenya and the UK, in an attempt to observe the creation, perception and experience of risks. The article demonstrates the importance of history, knowledge, social and institutional settings, trust and politics in the ways that risks are created, perceived and experienced by these different actors, and argues for the necessity of engaging with these highly contextualised processes at individual, local and institutional levels.