The application of digital technology to psychiatry research is rapidly leading to new discoveries and capabilities in the field of mobile health. However, the increase in opportunities to passively collect vast amounts of detailed information on study participants coupled with advances in statistical techniques that enable machine learning models to process such information has raised novel ethical dilemmas regarding researchers’ duties to: (i) monitor adverse events and intervene accordingly; (ii) obtain fully informed, voluntary consent; (iii) protect the privacy of participants; and (iv) increase the transparency of powerful, machine learning models to ensure they can be applied ethically and fairly in psychiatric care. This review highlights emerging ethical challenges and unresolved ethical questions in mobile health research and provides recommendations on how mobile health researchers can address these issues in practice. Ultimately, the hope is that this review will facilitate continued discussion on how to achieve best practice in mobile health research within psychiatry.