Egocentric networks represent a popular research design for network research. However, to what extent and under what conditions egocentric network centrality can serve as reasonable substitutes for their sociocentric counterparts are important questions to study. The answers to these questions are uncertain simply because of the large variety of networks. Hence, this paper aims to provide exploratory answers to these questions by analyzing both empirical and simulated data. Through analyses of various empirical networks (including some classic albeit small ones), this paper shows that egocentric betweenness approximates sociocentric betweenness quite well (the correlation is high across almost all the networks being examined) while egocentric closeness approximates sociocentric closeness only reasonably well (the correlation is a bit lower on average with a larger variance across networks). Simulations also confirm this finding. Analyses further show that egocentric approximations of betweenness and closeness seem to work well in different types of networks (as featured by network size, density, centralization, reciprocity, transitivity, and geodistance). Lastly, the paper briefly presents three ideas to help improve egocentric approximations of centrality measures.