Participatory, rights-based methodologies in childhood studies have explored conditions that realise children's rights to participation. One avenue of investigation has been to explore assent procedures that respect children's rights to make informed decisions about participation. Less attention has been directed towards the ways in which children indicate their dissent. This paper highlights children's self-chosen ways to participate (or not) in a study that explored their perspectives of play in an Australian early childhood education setting. The study analysed the design of ethical spaces in research with children's expressions as departure points for their participatory experiences. This highlighted three concepts that characterised their choices: agency; privacy; and relationships. The outcomes informed the development of a framework of ethical research spaces, incorporating physical, creative and social-emotional spaces. How the concepts of agency, privacy and relationships are anchored in the three spaces is addressed.