Smart cities are commonly seen as places that are defined by surveillance because of their reliance on vast amounts of digital data to improve urban management challenges. Although the infrastructures and technologies that enable smart city surveillance pervade multitudinous urban spaces and everyday practices, they are often “hiding in plain sight,” going unnoticed in the bustle of everyday life. Hence, fostering research settings where citizens can productively reflect on their everyday surveillance constitutes a major challenge for the interrelated projects of doing empirical research about subjective experiences of smart city surveillance and the inclusion of citizens in smart city discussions. Drawing on walking as a method, this study attempts to meet this challenge by developing and empirically testing a methodology of purposive “data walking.” Situating the research in Rotterdam, the Netherlands, participants are instructed to identify data points for public safety purposes on a short walk through the city and reflect on their experiences. Observations and experiences of smart city surveillance are documented with photos, text descriptions, and audio notes, which are shared in real-time with researchers and provide the basis for group reflections. These walks and reflections generate rich visual and textual data that yield insights into embodied and situated constructions of smart city surveillance as an object of subjective inquiry, experiences of visibility, considerations of agency and evaluations of public safety implications. The study considers these empirical results in conjunction with reflections on the methodology, contributing to further methodological explorations for including citizens in smart city discussions and surveillance subjectivity research.