To understand how the digitalization of higher education influences the inter-relationship between students, teachers, and their broader contexts, research must account for the social, cultural, political, and embodied aspects of teaching and learning in digital environments. "Digital ethnography" is a research method that can generate rich contextual knowledge of online experiences. However, how this methodology translates to higher education is less clear. In order to explore the opportunities that digital ethnography can provide in higher education research, this paper presents a methodological review of previous research, and discusses the implications for future practice. Through a systematic search of five research databases, we found 20 papers that report using digital ethnographies to explore teaching and learning in higher education. The review synthesizes and discusses how data collection, rigour, and ethics are handled in this body of research, with a focus on the specific methodological challenges that emerge when doing digital ethnographic research in a higher education setting. The review also identifies opportunities for improvement--especially related to participant observation from the student perspective, researcher reflexivity in relation to the dual teacher-researcher role, and increased diversity of data types. This leads us to conclude that higher education research, tasked with understanding an explosion of new digital practices, could benefit from a more rigorous and expanded use of digital ethnography.