(Social Science Quarterly) The goal of this article is to highlight the methodological problems involved in the study of nation-building and propose solutions. I identify three categories of methodological problems that flow from respective practices in social science research: (i) inferring intentions from observed behavior or outcomes; (ii) relying on census data to infer a country's ethnic diversity; and (iii) arbitrary periodization and anachronism, that is, attributing certain actions to concepts and/or phenomena that were not politically salient or even understood by the actors under study.