To date, the Sociological Laboratory of the Peoples’ Friendship University of Russia has accumulated a vast experience in the field of cross-cultural studies reflected in the publications based on the results of mass surveys conducted in Moscow, Maikop, Beijing, Guangzhou, Prague, Belgrade, and Pristina. However, these publications mainly focus on the comparisons of the empirical data rather than methodological and technical issues, that is why the aim of this article is to identify key problems of the comparative analysis in cross-cultural studies that become evident only if you conduct an empirical research yourself — from the first step of setting the problem and approving it by all the sides (countries) involved to the last step of interpreting and comparing the data obtained. The authors are sure that no sociologist would ever doubt the necessity and importance of comparative analysis in the broadest sense of the word, but at the same time very few are ready to discuss its key methodological challenges and prefer to ignore them completely. We summarize problems of the comparative analysis in sociology as follows: (1) applying research techniques to the sample in another country — both in translating and adapting them to different social realities and worldview (in particular, the problematic status of standardization and qualitative approach); (2) choosing “right” respondents to question and relevant cases (cultures) to study; (3) designing the research scheme, i.e. justifying the sequence of steps (what should go first — methodology or techniques); (4) accepting the procedures that are correct within one country for cross-cultural work (whether or not that is an appropriate choice).