Behavioral big data (BBD) refers to very large and rich multidimensional data sets on human and social behaviors, actions, and interactions, which have become available to companies, governments, and researchers. A growing number of researchers in social science and management fields acquire and analyze BBD for the purpose of extracting knowledge and scientific discoveries. However, the relationships between the researcher, data, subjects, and research questions differ in the BBD context compared to traditional behavioral data. Behavioral researchers using BBD face not only methodological and technical challenges but also ethical and moral dilemmas. In this article, we discuss several dilemmas, challenges, and trade-offs related to acquiring and analyzing BBD for causal behavioral research.