The notion of Global governance is well embedded by the rise of UN mega-conferences, and more generally « Mega-events ». This kind of very large and complex summits, with their archipelago of meetings, and the number and diversity of actors involved, can be considered as a very important spot for the global economy of policy transfer. This chapter will present the challenges and pitfalls of a new methodology called Collaborative Ethnography, tuned for tackling this complexity. First, we describe the methodological challenges in studying megaevents as a place for policy diffusion. Second, we offer an overview of the roots of this approach in the literature referring to political sociology of global agency. Then, we describe and evaluate the different protocols already experimented. The last part of the chapter comes back to the diffusion process within these events, global governance in the making and the manufacture of transnational social hierarchies and configurations.