There has been longstanding interest in understanding how people think, feel, and behave in sport and exercise activities. Although naturalistic recordings, momentary assessments, and post-event questionnaires have been employed to capture information on people’s experiences, these methods can have some shortcomings for researchers interested in advancing knowledge of certain social-psychological phenomena, especially in natural settings. The purpose of this paper is to describe the event-focused interview method and outline its utility for researchers who are interested in capturing rich, in-depth information on episodic phenomena, such as particular moments, events, psychological states, and experiences. First, we describe the event-focused interview method and the background to its development. Second, we highlight the limitations of naturalistic recordings, existing momentary assessment methods, and post-event questionnaires for certain types of research, before explaining why event-focused interviews can add to the suite of methods researchers use to obtain information on episodic phenomena in specific sport and exercise activities. Third, we provide guidance on how the event-focused interview method can be implemented, using illustrative examples from several recent event-focused interview studies. Fourth, to guide researchers in future, we identify some methodological dilemmas and considerations for applying this method. We conclude by outlining several methodological avenues that could be employed in future event-focused interview studies. Overall, we propose that the event-focused interview method may be a promising addition to the collection of methods available to researchers interested in generating new theoretical and practical knowledge about episodic phenomena in sport and exercise.