Refugees have a particularly high prevalence of psychopathological disorders. Despite this, little attention has been paid to the treatment of traumatized refugees, and research on the effects of exercise and sport among refugees is still in its infancy. Thus far, no randomized controlled trials have been carried out in a refugee camp setting, most likely because such trials are complicated by multiple organizational and methodological issues. We highlight some major challenges when carrying out experimental research in a refugee camp. This report of professional practice is based on systematic observations, individual and focus group interviews, and experiences made in a pre-experimental study, implemented in a refugee camp on the Greek mainland. The report provides background information about how refugees generally come to Greece, how transit camps are typically managed, which institutions are involved in the camp management, which rules need to be followed by people working in a camp, which countries refugees generally come from, and the conditions in which they live in the camp. We also identify general factors that complicate experimental research in such a setting, and highlight specific issues pertaining to sport and exercise-based intervention trials. Currently, more people are fleeing their home regions than after the end of the Second World War. This situation calls for a change in the understanding of humanitarian aid. Pure material and technical support must be complemented by public health measures, including exercise and sport programs. Researchers who want to enter this field of research can learn important lessons from our observations.