Individuals from minority groups in the United States have been found less likely than non-Hispanic whites to participate in research studies. The recruitment and retention of individuals from minority groups has also proved challenging. We describe the challenges that we encountered in recruiting and retaining a sample of severely mentally ill Mexican and Puerto Rican ethnicity for a study of the context of HIV risk. We recruited women in San Diego County, California and northeastern Ohio who were between the ages of 18 and 50 and who had diagnoses of schizophrenia, bipolar disorder, or major depression. We identified challenges to recruitment and retention at the macro, mediator, and micro levels. We were able to retain 81.1% of the Puerto Rican cohort and 26.7% of the Mexican cohort over a 5-year period. The vast majority of barriers to recruitment and retention within the Puerto Rican cohort occurred at the micro (individual) level. Macro level barriers occurred more frequently and impacted retention to a greater extent within the cohort of Mexican women. Our experience underscores the importance of outreach to the community and the interaction between staff and individual participants. Diverse strategies are required to address the impact of migration on follow-up, which may vary across groups.