‘Multi-sited ethnography’ is now a common method for anthropological studies on migration. But how multi-sited is multi-sited enough? Don’t we have to stand somewhere in order to confront problems and engage with changes? Based on my research experiences on migration in and from China since the early 1990s, this article explores ‘multi-scalar ethnography’ as a method of fieldwork, analysis, and writing. Multi-scalar ethnography delineates how movements are constituted at different scales (smooth flows at one level can be disruptions or encapsulations at another), how migrants’ scale-making projects intersect with states’ scale management, and how we can locate multiple sites analytically. In doing so, multi-scalar ethnography enables an explanation of why some mobility is more consequential than others, and identifies strategic sites where critical engagement can be grounded.